Quarterly CreditReport

Q2/2016 Volume 6, No 1

Advancing Risk Management for Singapore and Beyond

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NUS RMI-CRI Quarterly Credit Report, Q2/2016 1

IntroductionThe Quarterly Credit Report (QCR) is an analysis of credit outlooks across regions,economies and sectors. This analysis incorporates probabilities of default (PD) generated bythe Risk Management Institute - Credit Research Initiative’s (RMI-CRI) default forecast mod-el, a part of the RMI Credit Research Initiative at the National University of Singapore (NUS).The QCR provides insights on trends in credit outlooks to credit professionals, investors andresearchers.

QCR Volume 6, Issue 1 covers the second quarter of 2016. We discuss the general creditoutlook for a selection of economies from around the world, based on relevant indicators,and relate this discussion to forecasts provided by RMI-CRI’s probability of default (PD)model.

The appendices in this volume include a comprehensive overview of various outputs that areproduced by the operational PD system of RMI-CRI. While the PD system outputs defaultforecasts at horizons ranging from one month to five years, the QCR reports only 1-year PDsin order to allow the reader to make consistent comparisons. In addition to the PD producedby the RMI-CRI system, the appendices provide important macroeconomic, corporate creditand sovereign risk indicators. These summarize the credit situation, as well as make detaileddata available for reference purposes.

The commentary in the QCR is based on median PD of exchange-listed firms within e-conomies and industry sectors. Classification into economies is based on each firm’s coun-try of domicile, and classification into industry sectors is based on each firm’s Level I Bloom-berg Industry Classification. An exception is for the banking and real estate sectors, wherefirms are included based on the Level II Bloomberg Industry Classifications. The dailyfrequency PD graphs in the written commentary are aggregates of firms that have a PDin both the first ten days and last ten days of the quarter. This prevents, for example, dropsin the aggregate PD when high PD firms default and leave the sample.

The economies that are considered in each region are based on a selection of 78 economiescovered by RMI’s default forecast model.

The developed economies of Asia-Pacific include: Australia, Hong Kong, Japan, New Zealand,Singapore, South Korea and Taiwan.

The emerging economies of Asia-Pacific include: Bangladesh, China, India, Indonesia,Kazakhstan, Malaysia, Pakistan, the Philippines, Sri Lanka, Thailand and Vietnam.

Latin America includes: Argentina, Brazil, Chile, Colombia, Jamaica, Mexico, Peru andVenezuela.

North America includes: Canada and the US.

Eastern Europe includes: Bosnia and Herzegovina, Bulgaria, Croatia, the Czech Republic,Estonia, Hungary, Latvia, Lithuania, the former Yugoslav Republic of Macedonia, Montene-gro, Poland, Romania, Russia, Serbia, Slovakia, Slovenia, Tunisia, Turkey and Ukraine.

Western Europe includes: Austria, Belgium, Cyprus, Denmark, Finland, France, Germany,Greece, Iceland, Italy, Ireland, Luxembourg, Malta, the Netherlands, Norway, Portugal,Spain, Sweden, Switzerland, and the UK.

Africa & the Middle East includes: Bahrain, Egypt, Israel, Kuwait, Jordan, Morocco, Oman,Nigeria, Saudi Arabia, South Africa, Tunisia and the United Arab Emirates.

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Credit Research InitiativeThe QCR is a companion publication to the Global Credit Review and Weekly Credit Brief,with all three publications produced as part of the Credit Research Initiative (CRI) undertakenby RMI.

These publications supplement RMI-CRI’s operational probability of default (PD) model. Themodel takes financial statements and market data from a database of more than 60,000listed firms and estimates a PD for each firm, effectively transforming big data into smartdata. The outputs from the RMI-CRI PD model are available free for all users at:

www.rmicri.org

As of June 2016, the PD system covers 119 economies in Africa, Asia-Pacific, Latin America,North America, the Middle East and Europe. The probabilities of default for more than60,000 firms are available, including historical data for firms that are now delisted fromexchanges or firms that have defaulted. PDs aggregated at the region, economy and sectorlevel are also available. The full list of firms are freely available to users who can giveevidence of their professional qualifications to ensure that they will not misuse the data.General users who do not request global access are restricted to a list of 5,000 firms. ThePD system operates in a transparent manner, and a detailed description of our model isprovided in a Technical Report available on our website.

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Table of Contents

Introduction 1

Acronyms 4

BRICS 5Russia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

China . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12

Asia-Pacific - Developed economies 18South Korea . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

Singapore . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

Asia-Pacific - Emerging economies 31Indonesia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32

Malaysia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

Europe 43Greece . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44

United Kingdom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

Appendices 52A PD by economies . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53

B PD by regions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73

C Macroeconomic Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77

D Data notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116

About RMI and the Credit Research Initiative 119

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AcronymsBI Bank of IndonesiaBOE The Bank of EnglandECB European Central BankELA Emergency Liquidity AssistanceEU The European UnionFTV Financing-to-valueFDI Foreign Direct InvestmentGFC 2008-2009 Global Financial CrisisLATDB Liquid assets to deposits and short-term borrowings ratioLHS Left-hand side of graphLTV Loan-to-valueMAS Monetary Authority of SingaporeMPC Monetary Policy CommitteeMoM Month on MonthNIM Net Interest marginNODX Non-oil domestic exportsNPL Non-performing loanOECD Organisation for Economic Co-operation and DevelopmentOJK Otoritas Jasa Keuangan (Financial Services Authority of Indonesia)OPR Overnight Policy RatePBOC The People’s Bank of ChinaPMI Purchasing Managers IndexQoQ Quarter on QuarterREITS Real Estate Investment TrustsRHS Right-hand side of graphRRR Reserve requirement ratioWAIR Weighted average interest rateYoY Year On Year

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BRICS

Companies listed in the BRICS region witnessed a slight improvement to their credit profilesduring Q2. The aggregate 1-year PDs for Chinese firms decreased over the last threemonths on the back of higher exports and improved activity in the manufacturing sector. Theperception that the Chinese government would introduce more stimulus lifted the gloomysentiment over stocks and resulted in an equity market rally. In South Africa, retail companiesbenefited from a stronger Rand. Companies reported higher earnings and an improvingeconomy meant that the central bank would have more room to tighten monetary policy,possibly in the third or fourth quarter this year. In Brazil, a stronger Brazilian Real and greaterexpectation of economic growth and earnings, lifted the equity market. President DilmaRousseff was suspended to undergo an impeachment trial, creating investor confidence inthe new political administration. Brazil posted its first current account surplus since April2009 in Q2, as retail activity and industrial production expanded.

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Russian CompaniesThe RMI aggregate 1-year PD for Russian companies continued its downward trend duringQ2, as the economy continued to struggle in a recession. Several macroeconomic indica-tors such as employment and inflation have improved. Interest rates have remained high,keeping it expensive for companies to service their existing loans. However, the centralbank indicated that the next rate move is likely to be lower, given that the inflation rate hasbeen falling. The lower interest rate may provide some reprieve for Russian firms, but thesecompanies are in the oil and gas sector, which makes them heavily reliant on oil prices. Eventhough the export and manufacturing sectors have displayed some improvement in Q2, thecredit outlook for Russian firms remains negative.

Economy• Russia’s GDP contracted by 0.6% in Q2 after falling 1.2% in Q1. The government

expects economic contraction to continue at a slower pace in H2 2016, as industrialproduction activity improves. However, the Finance Ministry said that the economy’sperformance will still be dependent on the external demand for oil exports, which has avery uncertain outlook. Russia is looking to expand its agricultural exports to decreaseits reliance on oil production and exports. Russia has become the world’s largest wheatexporter, overtaking the US and Canada, and hopes to increase wheat sales to 25mntons in 2016.1

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• Despite the negative growth in the economy, the market capitalization of companieslisted in the Russian stock markets have been increasing. Russia’s Monetary PolicyCommittee expects inflation to fall in the coming months, and the central bank will likelyresume further monetary policy easing. In the last monetary policy meeting in July, thecentral bank was encouraged that inflation was falling in line with the baseline forecast.On Aug 15, the benchmark MICEX index hit a record high of 1977, in tandem with risingoil prices. Analysts say that investors are buying stocks on the pretext that the economymay be emerging out from a recession.2

• Russia’s inflation dropped to its lowest level in two years as the consumer price indexdecreased to an annual rate of 7.2% in July, from 16.7% in February 2015. TheBank of Russia expects inflation to reach their target rate of 4% next year. Earlierin Q1, the central bank pledged to keep interest rates at current levels until inflationaryexpectations and risks have diminished.3

• Russia’s unemployment rate continued to fall during Q2, falling from 6% in March to5.3% in July. The labor market has been improving even though the economy is ina recession, a sign that has puzzled market observers. Unlike the financial crisis in2008, the weaker demand for labor has not translated to a higher unemployment rate.Beneath this statistic is an increasing trend of more foreign workers being laid off as thenumber of foreigner labor permits has been decreasing.4

• Russia’s retail activity remained persistently in negative territory during Q2, with retailsales falling by 5.9% YoY in June and decreasing 5% in July. Some analysts saidthat falling real disposable incomes were responsible for the drop in retail sales, asconsumers remained pessimistic about job growth. A representative of Magnit, thelargest retailer in Russia, announced that consumer spending has fallen 1.5% in 1H2016 from a year ago.5

• As a sign of the floundering economy, Russia’s Markit’s Manufacturing Purchasing Man-agers’ Index (PMI) remained below the 50 point mark in April and May, but increasedto 51.5 in June. In July, the index dropped to 49.5 as new orders decreased and outputproduction declined. According to Markit, the downturn in the sector was driven by amarked drop in new order volumes. The survey also indicated that there was weakdemand for Russian products, as new orders for exports slipped back into contractionterritory.6

• The apparent weakness in manufacturing is not reflected in the service sector. TheMarkit Service Sector PMI index continued to increase in Q2, the index started at 52 inMarch and increased to 53.8 in June and then to 55 in July. The dramatic improvementin the last few months is the fastest pace of increase in 41 months. According to Markit,this was caused by a marked rise in new business intakes, as well as a broad basedimprovement in staffing levels in the service sector. The workforce improvement wasthe first sign of increase in 29 months, although the amount of increase was quitemodest.7

Monetary• The Bank of Russia decreased the key base rate to 10.5% in June, the first rate cut in

nearly a year. The base rate was kept at 11% between Aug 2015 and May 2016, afterit was raised to 17% in late 2014. The central bank said that monetary conditions arelikely to remain tight even though there is higher budget spending, pension payouts andhigher salaries.8

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Funding & Liquidity• 10 year yields on Russian sovereign notes decreased from 9.11% in Q1 to 8.32% in

Q2. The Russian government is planning to raise another USD 1.25bn from anotherbond issuance later this year through a Eurobond issue, with a possibility of anotherbond issue next year.9

• Funding costs to non-financial companies have largely remained the same in 2016. InQ2, the weighted average interest rates of long term RUB-denominated loans (thosematuring in 1 year or more) to small-and-medium sized businesses declined marginallyfrom 14.16% in March to 13.90% in June. The rate of loans to non-financial organiza-tions maturing in less than 1 year decreased from 24.29% to 22.21% during the sameperiod.10

Regulation• The Russian government plans to make changes to its oil tax structure and transform

it into a profit-based model. The new measures were welcomed by companies as theysay that the new tax system would be a more accurate reflection of the firms’ explorationcosts and risks. The Finance Ministry, however, opposes the new tax structure as itallows oil companies to hide their income and minimize tax payouts.11

Sovereign Credit Ratings• All three rating agencies kept their credit ratings in junk territory for Russia in Q2. During

their review for the sovereign issuer in April, Moody’s cited two factors as reasons tokeep Russia’s credit rating at Ba1. First, effective policy responses kept the economyresilient in the wake of falling oil prices. Second, the domestic capital market and fiscalreserves were sufficient to meet their debt obligations for the following two years.12

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Russian BanksThe credit profiles of Russian banks have deteriorated in Q2 despite early indications thatearnings might have expanded further from Q1. Deposit rates have dropped and loan rateshave flattened, meaning that banks may have higher net interest margins in Q2. However,there are a number of structural factors that supports a credit negative outlook for the sector.First, the government is mopping up liquidity in the banking system as the central bankforecasted a liquidity deficit until the end of 2016. This may place excessive stress on theinterbank rate, which may hinder the growth of credit profiles for smaller banks. Banks withpoor margins and lower asset quality may find it difficult to obtain funding and survive in areceding economy. Second, banking regulators are clamping down on related party lending,which could result in more bank shut downs. The banks’ exposure to related party loansis significant and has previously played a significant driver in some of the country’s largestbank collapses.

Profitability• Early results from VTB bank showed that earnings increased in Q2, but they were due

to one-off gains. The company recorded a USD 243mn profit during Q2, driven largelyby a one off oil refinery sale. Sberbank, the largest state controlled lender, reported a166.3% increase in net income from a year ago. The bank saw a influx of new depositsas savers saw the bank as a safe haven amid the increasing number of bank closuresthis year. It is too early to say if the gains by the two banks were widespread across thebanking sector in Q2. However, in the previous quarter, a survey of nine Russian banksprofits showed that profits increased to USD 1.7bn from USD 906mn in Q4.13

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Funding & Liquidity• Loans extended to non-financial institutions increased in the first two months of Q2.

The amount of issued loans expanded from RUB 21.50tn in March to RUB 21.64tnin May. This was due to an increase in demand for longer term loans, specificallythose maturing beyond 3 years. The amount of shorter term issuances, such as loansmaturing between 91 and 180 days, dropped from RUB 842bn to RUB 839bn. Theamount of loans maturing in 1 to 3 years decreased from RUB 4.89tn to RUB 4.87tn.14

• Deposit rates dropped to the lowest point in 2016 after the weighted average interestrate (WAIR) on individual deposits (including demand deposits) of up to 1 year de-creased to 7.04% in May. The WAIR on 1-year deposits of nonfinancial organizationsdeclined to 9.64% in April, also the lowest for the year.15

Capital Levels & Regulations• In Q2, the Bank of Russia conducted auctions on short term deposits, paying a weight-

ed average of 10.22% in interest to bank dealers. This is the first time in over ayear that liquidity is being mopped up in the financial system, as the central bank hasbeen providing cash to banks in previous repurchase auctions. The liquidity surgehas resulted in money market rates below 10.9%, a level which is lower than the centralbank’s target. Analysts say that the decision to switch to a deposit auction was becausethe central bank expects a possible large inflow of liquidity in the banking sector at thestart of August.16

Asset Quality• Asset quality compositions of Russian banks are set to change as regulators are plan-

ning to establish a rule that requires lenders to cut related-party lending to 20% ofcapital. Analysts say that 25% of the industry to be in violation of the new rule if it isintroduced now. To comply with the new rule, banks may have to refinance loans or seekearly repayments, these are undesirable options that may cause banks to seek waiversof the rule from the regulators. Related party lending is common among Russian banks,which is an area for concern. The Russian government is addressing these concernsby imposing tighter capital laws and draconian measures to fight money laundering.17

1Aug 12, 2016, Russian economy shows signs of improvement as GDP contraction slows, Russian Times,https://www.rt.com

2Aug 18, 2016, Moscow stock market is up, but Russian economy is still down, Marketwatch,http://www.marketwatch.com/

3Aug 4, 2016, Russia’s inflation just plunged to its lowest level in over 2 years, Business Insider,http://www.businessinsider.sg

4Aug 16, 2016, Russia’s employment rises in the face of lingering recession, Russian Times, https://www.rt.com

5July 20, 2016, Russia June retail sales fall on decline in real disposable incomes, Econo Times,http://www.econotimes.com

6Aug 1, 2016, Markit Russia Manufacturing PMI, Markit, https://www.markiteconomics.com/

7Aug 3, 2016, Markit Russia Service PMI, Markit, https://www.markiteconomics.com/

8Jun 10, 2016, Bank of Russia Cuts Interest Rates, Wall Street Journal, http://www.wsj.com/

9Aug 5, 2016, Minister says Russia govt could tap foreign bond markets this year, next, Intellinews,http://www.intellinews.com

10June 2016, Interest rates and structure of loans and deposits by maturity, The Central Bank of the RussianFederation, http://www.cbr.ru

11Jul 27, 2016, Russia set to enact oil industry tax reform, Oilprice.com, http://oilprice.com

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12Apr 22, 2016, Moody’s confirms Russia’s Ba1 sovereign rating; outlook negative, Moody’s,https://www.moodys.com/

13Aug 16, 2016, Russian bank VTB sees profit recovery due to refinery sale, Reuters, http://www.reuters.com

14June 2016, Loans, Deposits and other funds extended to organizations, The Central Bank of the RussianFederation, http://www.cbr.ru

15June 2016, Weighted Average Interest Rates on Deposits of Individuals and Non-financial Organizationsin Rubles, The Central Bank of the Russian Federation, http://www.cbr.ru

16May 16, 2016, Improving funding profiles for Russian banks set to continue in 2016, Bloomberg,http://www.bloomberg.com

17Jul 21, 2016, Banks Surviving Russian Purges Brace for Most Painful Step, Bloomberg,http://www.bloomberg.com

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Chinese CompaniesChina’s GDP growth continued at its slowest pace of 6.7% YoY in the second quarter of 2016since the global financial crisis. The credit profiles of Chinese firms improved marginallyduring Q2 although the firms’ credit quality has deteriorated considerably from 2011. Inflationand employment were stable but analysts are looking for more headwinds given the ongoingausterity drive in China. Amid a global economic slowdown and an unexpected Brexit voteoutcome, China’s exports and imports experienced negative growth in the second quarter.The central bank in China maintained its benchmark interest rate, reserve requirement ratioand foreign exchange reserves holding while injecting money through reverse repo into theeconomy.

Economy• The Chinese economy advanced 6.7% YoY in the second quarter of 2016, the same

pace as in the previous quarter, as the world’s second-largest economy continues toshift away from its manufacturing roots.18

• Consumer prices in China rose 1.9% YoY in June 2016, remaining well below Beijing’sinflation target of about 3% in 2016. Policymakers in China had been trying hardto avoid deflationary cycles as it encourages consumers to hold off on buying andbusinesses to put off new investments anticipating further drops in prices.19

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• China’s official unemployment rate was broadly stable at 4.05% while Fathom Con-sulting said that the nation’s Underemployment Indicator has tripled to 12.9% since2012. Fathom Consulting mentioned that the nation experienced ”a substantial hiddenunemployment problem” prompting China to ”restart the old growth engines”. Amidstate-backed ’zombie’ factories being kept alive, employees had been asked to workhalf the time for half the pay in order to keep the plants running.20,21

• The China’s Caixin manufacturing purchasing managers index (PMI) came in at 48.6 inJune 2016, down from 49.7 in March. Manufacturing PMI in China averaged 49.37 from2011 until 2016, reaching an all time high of 52.30 in January of 2013 and a record lowof 47.20 in September of 2015.22

• Domestic demand and real-estate investment continued to remain sluggish. China’sfixed-asset investment growth for H1 2016, a crucial driver of the economy, increasedby 9% YoY reaching CNY 25.8tn, down from 11.4% last year. Meanwhile, the growthrate of real estate investment increased by 3% in H1 2016 reaching CNY 4.7tn, downfrom a 7% growth rate between January to May 2016 and 4.6% in H1 2015.23,24

• Both exports and imports fell more than expected due to a continued slowdown inChina’s factory floors, registering a 4.8% and 8.4% decline in dollar denominated terms.This compared with a 4.1% declined in May and a 1.8% declined in April for exports aswell as a 0.14% declined in May and a 10.9% declined in April for imports. All thesereflected a slower global demand and moderate demand in China, said a strategist atCIBC Capital Markets. Economists at ANZ also said Brexit would weigh on China’sexports demand. 25

Monetary• China’s central bank continued to maintain its interest rate at 4.35% for 9 consecutive

months. The central bank hasn’t cut interest rates in more than six months but hasresorted to a range of tools to change credit and monetary conditions, such as openmarket operations, which are equivalent to cutting the required reserve ratio (RRR).26

• The PBOC injected CNY 285bn through reverse repos in June 2016, according toBloomberg data. In spite of the cash injection, the interbank rate surged to the highestin three months due to the seasonal end-of-quarter demand. The increase in demandcame from Chinese banks, who typically hoard cash to meet capital requirements atthe end of the reporting window.27

• The required reserve ratio continued to remain at 17% in Q2 2016 after cutting 0.5% inMarch. In a series of reductions, the central bank has brought the reserve ratio downfrom its 2011 peak of 21.5%. According to the front page commentary in the state-runChina Securities Journal, the China central bank is likely to cut reserve requirementratio in H2 2016. PBOC announced that as of July 15 the RRR would be based onthe average of its daily outstanding deposits rather than the deposit level at the dateof assessment. The change is to increase the flexibility of financial institutions’ liquiditymanagement and smooth volatility in the currency market and aid in establishing theinterest rate corridor system in China.28,29,30

• China’s foreign exchange reserves increased by USD 13.4bn to USD3.21tn in Juneof 2016, compared to a USD 30bn decrease in May and a USD 10bn increase inApril. Meanwhile, gold reserves had increased from 58.14mn fine troy ounces in Mayto 58.62mn in June 2016. Foreign Exchange Reserves in China averaged USD 860bnfrom 1980 until 2016, reaching an all time high of USD 3.99tn in June of 2014 and arecord low of USD 2.3bn in December of 1980.31,32

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Funding & Liquidity• 10-year government bond yield decreased slightly from 2.86% at the end of March 2016

to 2.84% in June 2016. 1-year government bill yield increased from 2.06% to 2.39%over the same period.33

• The 3-month 5-day average SHIBOR had increased steadily from 2.82% on 31 March2016 to 2.97% on 30 June 2016.34

• The value of new yuan loans provided by the Chinese banks stood at CNY 1.38tn inJune 2016 as compared to CNY 985.5bn in May 2016 and beating market expectationCNY 1.04tn. Banks Balance Sheet in China averaged CNY 582.84bn from 2004 until2016, reaching an all time high of CNY 2.51tn in January 2016 and a record low of CNY-32.10bn in July 2005.35

Policy• A bumper March, disappointing April and stable growth in May coupling a credit surged

in Q1 gave China little incentive to apply fresh policy stimulus. President Xi Jinping alsohighlighted the importance of deleveraging. In some areas, China’s leadership activelyreduced excess industrial capacity that built up amid the debt-fuelled growth of recentyears. With stabilized exports amid a muted global economic growth environment,China had to rely on domestic demand to meet the 6.5% to 7% GDP growth in 2016.An economist at UBS cited sustained rebound in the real estate investment will helpto achieve this goal. The economist also anticipated a review on the policy outlookusing Q2 data and a gathering of top policy makers in July. Another economist at RoyalBank of Scotland mentioned the credit growth is likely to stay solid and policy makerswill likely stay on hold, tapering demand stimulus while maintaining fiscal and liquiditybuffers.36

Sovereign Credit Ratings• Fitch maintained rating A+ on the Chinese government with a stable outlook while

Moody’s and S&P credit rating for China stood at Aa3 and AA- with a negative outlook.

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Chinese BanksThe RMI aggregate 1-year PD for Chinese listed banks continued to climb, surging to itshighest level in more than 5 years. In Q2 2016, banks may need to restore bad loans bufferswhich they breached in Q1 2016 at the expense of their profitability. The refusal of ChinaBanking Regulatory Commission to lower the minimum bad loan buffer reflected their standto control risk for the highly-leveraged financial system in China. The amount of capitalinjected into the banking system through the PBOC’s lending facility has declined in Junefrom the previous month. Lastly, a majority of the Bloomberg survey respondents predicteda government bailout within two years.

Profitability• Banks in China may need to sacrifice profitability to restore bad-loan buffers that they

breached in Q1 as China Banking Regulatory Commission refused to lower the mini-mum 150% threshold. This reflected their stance to control risk in the highly-leveragedfinancial system in China, weighing more on the stability of the financial system at theexpense of equity investors. Combined profits of the top five banks slipped 3.4% in2016, the first decline since 2004 as analysts said.37

Funding & Liquidity• China’s central bank injected CNY 210.72bn through short- and medium-term liquidity

(MLF) facilities in June to support credit growth and the economy, down by 27.5% fromMay. The central bank also injected CNY 2.72bn through its standing lending facility(SLF) in June. The outstanding SLF and MLF stood at CNY 2bn and CNY 1.75tnrespectively at the end of June 2016, as compared with the CNY 400mn and CNY1.64tn figures in May.38

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Regulations• One consolidation plan on the financial regulation is to empower and centralize the

central bank, rather than overseeing the banking, securities and insurance industriesin isolation. One illustration was that when China’s commercial banks aggressivelyexpanded lending in 2009 to shield the Chinese economy from the global crisis, thecountry’s top banking regulator made them hold more capital and set aside more moneyagainst bad loans, undoing the effects of the central bank’s credit loosening. However,the need to reform required intense debate over how to do it. June came and wentwithout a draft proposal that president Xi and other leaders hoped to see.39

• China consulted Britain on plans to create a financial super-regulator to improve finan-cial oversight following the stock market crash in 2015, reported by Reuters. The centralbank had also previously approached the US Federal Reserve in July 2015 for aid inhandling its tumbling stock markets.40

• CBRC told Reuters it was drafting new regulations on commercial banks’ wealth man-agement products to curb risks and promote sustainable development in the industry.The new rules were studied internally and feedback were gathered for amendmentbefore publishing the new rules. The Chinese stock market fell sharply after the newsof the new draft rules being widely reported by the media.41

Asset Quality• Nine out of 15 respondents in a Bloomberg survey at the end of June 2016 expected

a government-funded recapitalization that will take place within two years. Despite theview that state recapitalization would place the banking system on a stronger footing,80% of the respondents predicted news of a rescue would impact the Chinese markets,dragging bank stocks and the yuan while pushing up government borrowing costs andcredit risk. Cheap credit to boost economic growth was the reason of the piling ofbad debt. Non-performing loans shoot up by more than 40% YoY in March 2016 toCNY 1.4tn or USD 210bn, constituting 1.75% of the total loan. CLSA Ltd. estimatedthat NPLs were understated and closer to CNY 11.4tn at the end of 2015. Also, astress test on 31 large- and mid-sized Chinese banks demonstrated that the aggregatecapital-adequacy ratio fell from 13.32% to 10.97% in a worst case scenario, the PBOCsaid. Lastly, the respondents said the state will use a mix of foreign reserves, stateassets sales, sovereign bond issuance or money printed by the central bank for staterecapitalization, costing between USD 500bn to USD 3tn.42

18August 5, 2016, China GDP Annual Growth Rate, Trading Economics, http://www.tradingeconomics.com

19August 5, 2016, China Inflation Rate, Trading Economics, http://www.tradingeconomics.com

20June 6, 2016, China’s Hidden Unemployment Rate, Bloomberg, http://www.bloomberg.com

21August 5, 2016, China Unemployment Rate, Trading Economics, http://www.tradingeconomics.com

22August 5, 2016, China Caixin Manufacturing PMI, Trading Economics, http://www.tradingeconomics.com

23July 15, 2016, Investment in Fixed Assets for the First Six Months of 2016, National Bureau of Statistics ofChina, http://www.stats.gov.cn

24July 15, 2016, National Real Estate Development and Sales in the Six Months of 2016, National Bureau ofStatistics of China, http://www.stats.gov.cn

25July 13, 2016, China’s June exports, imports fall more than expected, CNBC, http://www.cnbc.com

26August 5, 2016, PBC base interest rate - Chinese central banks interest rate, Global rates, http://www.global-rates.com

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27June 22, 2016, China Money Rate Increases Most Since March as Banks Hoard Cash, Bloomberg,http://www.bloomberg.com

28August 5, 2016, China Cash Reserve Ratio Big Banks, Trading Economics, http://www.tradingeconomics.com

29July 5, 2016, Shanghai Stocks Rise to Close Above 3,000 First Time Since April, Bloomberg,http://www.bloomberg.com

30June 6, 2016, News Analysis: China’s tweak to reserve calculation helps smooth liquidity, XinHuanNet,http://news.xinhuanet.com

31August 5, 2016, China Foreign Exchange Reserves, Trading Economics, http://www.tradingeconomics.com

32July 5, 2016, China gold reserves rise to 58.62 mln fine troy oz at end-June, Reuters, http://www.reuters.com

33August 5, 2016, Yield of Government Securities, China Foreign Exchange Trade System,http://www.chinamoney.com.cn

34August 5, 2016, SHIBOR, Shanghai Interbank Offered Rate, http://www.shibor.org

35August 5, 2016, China New Yuan Loans, Trading Economics, http://www.tradingeconomics.com

36June 10, 2016, Chinas Growth in May Seen Enough to Keep Policy Levers Steady, Bloomberg,http://www.bloomberg.com

37July 28, 2016, China Bank Regulator Said to Resist Push to Cut Loan Buffers, Bloomberg,http://www.bloomberg.com

38July 1, 2016, PBOC injects liquidity via short-term tools in June, but less than May, Reuters,http://www.reuters.com

39July 14, 2016, Chinas Latest Plan for Market Control Involves the Central Bank, Wall Street Journal,http://www.wsj.com

40May 14, 2016, China asks Britain for advice on creating financial super-regulator, Reuters,http://www.reuters.com

41July 28, 2016, China bank regulator drafts new rules on wealth management products, Reuters,http://www.reuters.com

42July 4, 2016, China Bank Bailout Calls Growing Louder, Survey Shows, Bloomberg,http://www.bloomberg.com

NUS RMI-CRI Quarterly Credit Report, Q2/2016 18

Asia-Pacific - Developed economies

The RMI-CRI aggregate 1-year PD for listed companies in the developed Asia Pacific regionremained unchanged during Q2. The RMI-CRI aggregate 1-year PD for Japanese firmsdecreased while the aggregate 1-year PD for Australian firms increased during the quarter.The credit profiles of Japanese firms strengthened on the back of a weaker Yen; earningsincreased during Q2 with technology and healthcare sectors registering stronger earningsgrowth. Australian firms, on the other hand, posted lower net incomes due to weak com-modity prices. Macro economic data tracking Australia’s economy was mostly weaker thanexpected. Retail activity was poor in Q2 while the Purchasing Managers’ Index dropped to51 from 53.4 in April. The RMI-CRI aggregate 1-year PD for Asia Pacific firms remained atan elevated level, after reaching a peak in January this year. The RMI-CRI aggregate 1-yearPD reversed its downward trend in May and has since been climbing upwards, eventuallysettling near its highest level since 2012 in June.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 19

South Korean CompaniesThe RMI-CRI aggregate 1-year PD for South Korean companies was unchanged over Q2.The aggregate 1-year PD rose slightly in June before ending flat for the quarter. The tepid PDmove was accompanied by better than expected economic growth and lower unemploymentrate in Q2. However, exports continued to fall in the second quarter in light of weak exportdemand from China and emerging countries while the debt restructuring in the shipbuildingand shipping industries is placing strain on the country’s economy. In a bid to stimulategrowth, South Korea has cut its benchmark rates to 1.25% and planned for an additionalbudget spending. Despite the monetary and fiscal stimulus, the outlook on South Koreaneconomy remains uncertain amid the ongoing corporate restructuring.

Economy

• South Korea’s economy grew by 0.7% QoQ during Q2, as compared to 0.5% QoQduring Q1. On a YoY basis, South Korea’s GDP increased 3.2%. Private consumptionand capital investment helped to stimulate growth as private consumption and capitalinvestment grew 0.9% and 2.9% respectively in Q2 after tumbling 0.2% and 7.4% inQ1. It was the fastest annual growth since the third quarter of 2014. In July, theSouth Korean government submitted a USD 9.7bn additional budget plan to battleunemployment. The result in Q2 outperformed a median of 2.9% forecast in the Reuterspoll.43

NUS RMI-CRI Quarterly Credit Report, Q2/2016 20

• The consumer sentiment in South Korea slightly improved in July. The compositeconsumer sentiment index in July climbed to 101 in June from 99 in May. The rise is at-tributed to the growing belief that economic conditions are going to improve. Consumersentiment had been low since May due to high youth unemployment and concernsregarding corporate restructuring. The monthly index is based on a survey of 2,070households.44

• South Korea’s trade surplus hit an all-time high in June as the economic slowdownweighs more on imports rather than exports. Trade surplus in June stood at USD11.5mn, up by 15.5% YoY. Exports declined for eighteenth month straight in June, fallingby 2.6% YoY to USD33.8bn, whereas imports fell by 7.7% YoY. In light of weakeningdemand from China and emerging countries, exports have declined since early 2015.South Korea’s inbound shipment has contracted for 20 consecutive months.45

• Korea’s unemployment rate in Q3 fell to 3.6% in June from 3.7% in April. The unem-ployment rate in April is the lowest level in the five months, after peaking at 4.1% inFebruary 2016. Number of people employed in June was 26.6 million, up by 354,000from a year earlier. However, the unemployment rate for young people, aged between15 and 29, climbed to 10.3% in June from 9.7% in May.46

• South Korea’s PMI increased to 50.5 at the end of the second quarter from 50.0 in April,signalling modest improvement in the manufacturing sector. Production in June rose atthe fastest pace since February 2015 as better advertising, new product launches, andstronger export demand had helped to boost output. Consequently, firms hired moreworkers at the fastest rate since March 2014.47

Monetary• On June 9, the Bank of Korea decided to lower the benchmark rate for the first time in

a year to 1.25% from 1.5%. The unanimous decision was taken to better cope with thegrowing risks to the economy, which is currently plagued by weak export and sluggishconsumption. The central bank governor cited modest price pressure and weaker thaninitially expected future growth as the board’s main reasons to cut rates. Concernsabout debt restructuring in Korea’s beleaguered shipbuilding industry was likely to beone of reasons. The central bank said it will retain a supportive monetary policy stancein stimulating economic growth and maintaining financial stability.48

• Consumer price index in July rose by 0.7% YoY, down from 0.8% YoY increase in June.The inflation rate is the slowest in 10 months and was below the median estimate of0.8% in a Reuters poll. Core CPI, which excludes oil and agricultural products, climbedby 1.6% YoY. The inflation rate remains below the central bank’s target of 2%. In Q2,the Bank of Korea cut its benchmark rate to a record low of 1.25%.49

Funding & Liquidity• Yields on 10-year South Korean government bonds declined from 1.817% in Q1 to

1.418% in Q2.

• According to the Bank of Korea (BOK), South Korea’s M2 money supply rose to KRW2,318.5tn at the end of May, up by 0.7% from April. The rise is attributed to an increasein short-term deposits and money market funds amid low interest rate. Bank depositswith a maturity less than two years rise from KRW 904.4tn to KRW 913tn while moneyheld in money market funds increased by KRW 63.2tn to KRW 67.5tn. The BOK’sdecision to cut the benchmark rate to a record low of 1.25% in June has helped to spurmoney growth.50

NUS RMI-CRI Quarterly Credit Report, Q2/2016 21

• Interest rates on new loans to large Korean corporations fell from 3.28% per annumin March to 3.06% in June. Similarly, interest rates on new loans to small companiesdeclined to 3.64% from 3.79% in the same period.51

Politics• In the wake of North Korea’s nuclear weapon test and satellite launch in May, South

Korea has been mulling to develop its own nuclear weapons. While South Korea isbarred from developing its own nuclear weapon under the Nuclear Non-proliferationTreaty, growing security risks from Pyongyang have continued to fuel the discussion.The ruling party even urged the President to stockpile plutonium for self-defence. Sucha move, however, will not be tolerated by the United States and would likely to result insanctions from the US and proliferation of nuclear arms in the region.52,53

Sovereign Credit Ratings• The three major agencies have maintained their ratings on South Korea’s sovereign

debt in Q2. The country is rated AA- by Fitch, Aa2 by Moody’s and A+ by S&P. All threeCRAs maintained stable outlooks on the sovereign issuer.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 22

South Korean BanksThe RMI-CRI aggregate 1-year PD for South Korea banks decreased to its lowest level for2016 during Q2. However, the asset quality of Korean banks deteriorated in the secondquarter as the delinquency rate of domestic bank’s won-denominated loans continued itsclimb from Q1, fuelled by the numerous ongoing corporate restructurings. South Koreanbanks reported weaker profit in the second quarter while Moody’s downgraded the outlookon Korean banking system to negative in April in light of the uncertain macroeconomiccondition and the ongoing corporate restructuring. In response to the bank’s worseningbalance sheet, the South Korean government planned to recapitalize two state-run banksthat are significantly exposed to the ailing shipbuilding and shipping industries.

Profitability• The aggregate earnings of seven listed Korean banks fell by 9.93% QoQ in Q2. Total

net incomes were USD 2.17bn at the end of June, 6.67% higher than USD 2.04bn ayear ago.

Funding & Liquidity• Average coupon rates on new issuances of 5-year KRW-denominated bank bonds

decreased from 1.75% in Q1 to 1.72% in Q2.

• Data published by the Korea Federation of Banks showed that the short term Cost ofFunds Index rate decreased in Q2, from 1.47% at the start of April to 1.30% at the endof June. COFIX is determined by the average interest rate paid on capital funding bynine major Korean lenders.

• Overall liquidity in the South Korean banking system worsened during Q2 as the aggre-gate LATDB ratio for listed banks declined from 11.1% at the end of March to 10.33%at the end of June.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 23

Regulations• The Financial Supervisory Service in May urged major commercial banks to increase

loss reserves against corporate insolvencies amid an economic downturn. The centralbank governor told banks to write down distressed debt quickly and build up adequatereserve for future losses. The governor viewed that banks remain slow in reflectinglosses and sustaining healthy balance sheets. The governor also reminded banks ofbeleaguered shipbuilders and other ailing industries to be more involved in the restruc-turing process.54

• In June, the South Korean government and central bank planned to create a KRW 11tnfund to recapitalize Korea Development Bank and the Export-Import Bank of Korea,two state-owned banks that have the highest exposure to the shipping and shipbuildingindustries. The fund will be used to buy contingent convertible (CoCo) bonds that canbe converted into equity issued by the state banks to maintain the banks’ adequacyratio. On top of the fund, South Korean government also injected KRW 1tn worth ofassets directly into the Export-Import Bank of Korea.55

Asset Quality• In April, Moody’s downgraded the outlook on five Korean banks (Busan Bank, Daegu

Bank, KEB Hana Bank, Kyongnam Bank, and Shinhan Bank) to negative from stable.Moody’s also revised the outlook of Jeonbuk Bank from positive to stable. Moody’s ex-pected a more challenging operating environment for Korean banks, particularly thosethat have exposure to industries undergoing restructuring. As the ratio of private sectorcredit to GDP rose by 10% to 182.6% in September, 2015, Moody’s was of the viewthat bank’s profitability and asset quality were increasingly at risk.56

• The delinquency rate of domestic bank’s won-denominated loans (calculated as thepercentage of loans with principal or interest payment past due by at least one month)increased from 0.64% at the end of April to 0.71% at the end of Q2. The rise in delin-quency rate was attributed to court-led restructuring of STX Offshore, which resulted inhigher delinquency rate of loans to large companies. The delinquency rate of loans tolarge companies climbed to 2.17% in June from 0.87% in April whereas the delinquencyrate of loans to SMEs fell from 0.87% in April to 0.71% in June.57

43Jul 26, 2016, South Korea GDP rebounds in second quarter, respite seen short-lived, Reuters,http://uk.reuters.com

44Jul 27, 2016, S. Korea’s consumer sentiment slightly improves in July, Yonhapnews,http://english.yonhapnews.co.kr/

45Jul 15, 2016, S. Korea posts record high trade surplus in June, Yonhapnews,http://english.yonhapnews.co.kr/

46Jul 13, 2016, South Koreas unemployment rate falls in June to near six-month low, EconoTimes,http://www.econotimes.com

47Jun 30, 2016, Markit South Korea Manufacturing PMI, Markit Economics, http://www.markit.com/

48Jun 9, 2016, Bank of Korea unexpectedly cuts rates to 1.25%, Financial Times, http://www.ft.com/

49Aug 1, 2016, South Korea Inflation Slows To 0.7% In July, RTT News, http://www.rttnews.com

50Jul 13, 2016, Korea’s M2 money supply grows in May, The Korea Herald, http://www.koreaherald.com

51Jun 30, 2016, Interest rates on newly extended loans, Bank of Korea, http://ecos.bok.or.kr

52May 8, 2016, Japan and South Korea May Soon Go Nuclear, The Wall Street Journal, http://www.wsj.com

53Apr 6, 2016, South Korea Mulling Developing Nuclear Weapons Despite US Assurance Of Extending ItsNuclear Umbrella, International Business Times, http://www.ibtimes.com/

NUS RMI-CRI Quarterly Credit Report, Q2/2016 24

54May 13, 2016, Korean banks ordered by FSS chief to stack up more loss reserves ahead of restructuring,Pulse, http://pulsenews.co.kr/

55Jul 3,2016, S. Korea to debut 11 tn won recapitalization fund for state lenders, Pulse, http://pulsenews.co.kr/

56Apr 14, 2016, Moody’s revises outlook of five Korean banks to negative; downgrades Woori Bank, Moody’s,https://www.moodys.com

57Aug 1, 2016, Delinquency Rate of Domestic Banks WD Loans, June 2016, Financial Supervisory Service,http://english.fss.or.kr/

NUS RMI-CRI Quarterly Credit Report, Q2/2016 25

Singapore CompaniesThe RMI-CRI aggregate 1-year PD for Singapore firms declined in May and June, keepingin line with higher retail spending and a modestly growing economy. The unemploymentrate increased to 2.1% as more companies laid off workers to cope with a tougher operatingenvironment. There was a high profile default in the oil services industry which supports anegative credit outlook for Singapore firms. Swiber Holdings, applied for judicial manage-ment after the company failed to secure further funding from private equity players. Thelocal banks are the principal creditors to the firm, with exposures as high as SGD 700mn.Swiber’s credit event may bring about higher financing costs to other non-financial Singaporefirms as banks turn cautious in issuing loans. The RMI-CRI aggregate 1-year PD surged tothe highest level in more than 5 years before retreating in May and June. It remains to beseen if the 1-year aggregate PD will decline further as the economy continues to reel fromweak external demand and lackluster investment climate.

Economy• According to advance estimates, the Singapore economy grew by 2.2% YoY in the

second quarter of 2016, the same pace of growth as in the previous quarter. Theconstruction industry continued to be the main contributor to the YoY GDP growth,while the manufacturing sector had reversed from a previous contraction. Growth rosemarginally on a QoQ seasonally-adjusted annualized basis, in contrast to the 0.2%growth in the preceding quarter.58

NUS RMI-CRI Quarterly Credit Report, Q2/2016 26

• Inflation rate dropped by 0.7% YoY in June 2016, led by lower prices in transport andthe housing and utilities segment, compared to the year before. Transport costs fell by4.3% YoY, though it expanded marginally by 1.4% on a MoM basis. Similarly, the pricelevel in the housing and utilities segment were lower by 4.2% in June 2016, in contrastto the same period last year. On a MoM basis, prices of housing and utilities segmentrose by 2.1%. Excluding the accommodation and private road transport components,the core inflation index was up by 1.1% on a YoY basis, as prices were higher in thehousehold durables and services and education segments.59

• Singapore’s seasonally adjusted unemployment rate rose from 1.9% in March 2016 to2.1% in June 2016. During the period, unemployment rate increased among residentsand citizens as a result of the unfavorable global economic conditions. Total employ-ment was 1.3% higher than a year ago in June 2016, similar to the 1.4% growth inMarch 2016, but slower than the average growth of about 2% in 2015. The expansionin the second quarter of 2016 was mainly driven by services, despite a slowdown in thepace of growth from the previous quarter. In contrast, employment in manufacturingcontinued to shrink. 5,500 workers were made redundant in the first quarter of 2016,greater than the number in Q4 2015 and on a YoY basis. The number of layoffs fellduring the quarter in manufacturing while it increased in services and stayed relativelyunchanged for construction.60

• Survey results released by the Singapore Institute of Purchasing and Materials Man-agement showed that the manufacturing sector shrank for the twelfth consecutive monthin June 2016. The decline in reading was attributed to a contraction in factory outputand a faster rate of contraction in both new orders and new exports.61

• The seasonally adjusted retail sales increased 1.4% MoM and increased 3.0% YoY inMay 2016. Excluding motor vehicles, retail sales increased 2.3% MoM and 3.3% YoYrespectively. The total retail sales value in May 2016 was estimated at SGD 3.7bn,higher than the SGD 3.6bn retail sales value last year. The seasonally adjusted salesof food&beverage services in May 2016 increased 0.9% MoM and 0.7% YoY. The totalsales value of food&beverage services in November was estimated at SGD 690mn,higher than the SGD 685mn total sales of food&beverage services last year.62

• Singapore’s NODX decreased by 2.3% YoY in June 2016, in contrast to the 11.6%expansion YoY in the previous month, because of a contraction in both electronic andnon-electronic NODX. The top contributors to the NODX decline were the EU 28, Chinaand Indonesia.63

Monetary• MAS announced in April 2016 that it would ease its monetary policy by halting the

appreciation of the Singapore dollar. The move will remove the modest and gradualappreciation path of the currency’s existing nominal effective exchange rate policy band.The policy shift came on the back of a modest growth in the first quarter of 2016, weakerthan projected during the policy review in October 2015. Additionally, a slower growthin the rate of core inflation also contributed to the shift in currency policy.64

Funding & Liquidity• Yields of 10-year Singapore government bonds dropped to 1.80% on Mar 31 2016 from

2.60% on Dec 31 2016.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 27

• Lending to non-bank customers dipped from SGD 591bn in Q1 2016 to SGD 590bn inQ2 2016. Total loans to businesses shrank by more than SGD 3bn from a quarter ago,in particular the financial institutions sector. Loans to consumers, on the other hand,rose during the quarter.65

• The amount of outstanding sovereign bonds decreased by SGD 0.9bn in Q3 2016.66

• The prime lending rate stayed unchanged at 5.35% since January 2014.67

Sovereign Credit Ratings• All three major rating agencies kept their highest investment grade ratings for Singapore

sovereign bonds over Q2 2016.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 28

Singapore Banks

The RMI-CRI aggregate 1-year PD climbed to its highest level in more than 5 years inFebruary, declined slightly in the subsequent months, and remained at a elevated level inQ2. The performance of the three local banks remain positive during the second quarterof 2016, albeit lower profits were posted for DBS and OCBC. While bank deposit ratesstayed flat during the period, the level of savings and lending to non-bank customers dipped.Overall, the banks’ asset quality deteriorated as non-performing assets, especially withinthe oil and gas sector, have started to rise. Moving forward, banks could increase theirbank provisions given the increasingly weak outlook over employment and loan quality inSingapore. With the abovementioned factors in mind, the credit outlook for Singapore banksremains negative.

Profitability• On a YoY basis, the profitability of DBS and UOB experienced a decline in Q2 2016.

Only UOB reported a rise in profit of 5.1% as compared to the year before. The netincome was about 6% lower for DBS while 15% lower for OCBC. OCBC’s net incomedeclined by a wider margin, from SGD 1048mn during the same quarter last year toSGD 885mn this year. The decline in profitability for OCBC is largely attributed to theabsence of equity investment gains a year ago and unrealized mark to market lossesfrom its insurance subsidiary’s bond and equity investment portfolio.68,69,70

• Data from the Monetary Authority of Singapore showed that the amount of corporateloans issued to non-bank customers decreased by SGD 86.4mn during the first quarterof 2016.71

NUS RMI-CRI Quarterly Credit Report, Q2/2016 29

Funding & Liquidity• Total deposits in Singapore banks contracted by SGD 312.8mn in Q2 2016. Local

currency deposits expanded by SGD 259.3mn, a significantly slower pace as comparedto previous quarter expansion of SGD 15.5bn while foreign currency deposits werereduced by about SGD 572mn. All segments, from government bodies to residents,chalked up net savings during this period. 72

• The fixed deposit rates remained unchanged during Q2 2016, with rates on 3-monthdeposits and 12-month deposits keeping at 0.19% and 0.35% respectively. The primelending rate stayed at 5.35%.73

• The statutory liquidity ratio of banks increased to 25.8% in December 2015, up from20.6% in September 2015.74

Capital Levels & Regulations• Banks’ capital and reserves level rose to SGD 86.1bn at the end of Q1 2016 from SGD

84.6bn at the end of previous quarter. On a YoY basis, the capital and reserves levelwas higher by 14.5%75

Asset Quality• Loans placed under the ”special mention” category increased slightly to 2.42% of total

exposure as of the end of Q2 2016, from 2.33% in the quarter before. Overall, assetquality in banks was lower during the first quarter of 2016, as the composition of good-quality assets continued to decline. The percentage of loss exposure at local banks hasalso increased markedly since last year. Total loss was 0.13% in Q2 2016 compared to0.08% in Q2 2015.76

58Jul 14, 2016, Singapore’s GDP Grew by 2.2 Per Cent in the Second Quarter of 2016, Statistics Singapore,https://www.singstat.gov.sg/

59Jul 25, 2016, Singapore Consumer Price Index, Mar 2016, Statistics Singapore, https://www.singstat.gov.sg/

60Jul 28, 2016, Labour Market Advance Release 2Q 2016, Ministry of Manpower, https://www.singstat.gov.sg/

61Jul 2016, June PMI reading posted a drop of 0.2 point at 49.6. Electronics index recorded marginal dip at49.0, Singapore Institute Of Purchasing & Materials, http://www.sipmm.edu.sg

62Jul 15, 2016, Retail Sales and Food & Beverage Services Indices, May 2016 , Statistics Singapore,https://www.singstat.gov.sg/

63Jul 18, 2016, Singapore’s External Trade March 2016, IE Singapore, http://www.iesingapore.gov.sg/

64Apr 14, 2016, Monetary Policy Statement, MAS, https://secure.mas.gov.sg/

65Jun 2016, Banks: Loans and Advances of DBUs to Non-Bank Customers by Industry, MAS,https://secure.mas.gov.sg/

66Jun 2016, Issuance data, MAS, https://secure.sgs.gov.sg/

67Jun 2016, Interest Rates of Banks and Finance Companies, MAS, https://secure.mas.gov.sg/msb/

68Jul 28, 2016, Group Financial Report For the First Half/Second Quarter 2016, UOB, www.uob.com.sg

69Aug 8, 2016, Record first-half and second-quarter income DBS Group Holdings 2Q 2016 financial results,DBS, www.dbs.com.sg

70Jul 28, 2016, Second Quarter 2016 Results Presentation, OCBC Group, http://www.ocbc.com

71Jun 2016, Banks: Loans and Advances of DBUs to Non-Bank Customers by Industry, MAS,https://secure.mas.gov.sg/

72Jun 2016, Deposits (excluding SGD NCDs) of DBUs by types of non-bank customers, MAS,https://secure.mas.gov.sg/

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73Jun 2016, Interest rates of banks and finance companies, MAS, https://secure.mas.gov.sg/

74Jun 2016, Statutory liquidity position of DBUs, MAS, https://secure.mas.gov.sg

75Jun 2016, Banks: Liabilities of DBUs, MAS, https://secure.mas.gov.sg

76Jun 2016, Banks: Classified Exposures, MAS, https://secure.mas.gov.sg

NUS RMI-CRI Quarterly Credit Report, Q2/2016 31

Asia-Pacific - Emerging economies

The RMI-CRI aggregate 1-year PD for listed corporations in emerging Asia, excluding Indiaand China, continued to fall during the second quarter of 2016. Within the region, thecredit profiles of Indonesian companies improved after the approval of the tax amnesty bill.With the tax amnesty bill in effect, Indonesian corporates could benefit from higher privateand public investments with notable improvements expected by 2017. Credit profiles ofPhilippines companies also improved as investors backed up the newly inaugurated Duterteadministration. GDP growth could pick up in H2 2016 due to increased government spendingand household consumption. Vietnamese firms also continued to be a bright spot within Asiaas corporate credit quality improved in tandem with higher foreign domestic investments.The economy appeared to be growing resiliently at 6.5% per annum despite the difficultglobal environment marked by a China slowdown. The Vietnamese government’s effort todiversify from the oil and coffee sectors have helped to shield the country from a noticeabledrop in commodity prices.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 32

Indonesian CompaniesThe RMI-CRI aggregate 1-year PD for Indonesian companies continued its downward trendin Q2 from Q1. The fall in PD is in line with the better-than-expected economic growth inQ2. Indonesia’s inflation remained under control in Q2 while trade surplus imrpoved, drivenby exports in non-oil and gas sector. In June, Bank Indonesia lowered the benchmark ratefor the fourth time to 6.5% from 6.75% in order to stimulate economic growth. The new taxamnesty bill, which was passed in June, is also expected to boost bank’s liquidity and creditgrowth in Indonesia as it would bring billions of repatriated offshore assets back to Indonesia

Economy• Economy growth during Q2 rose to 4.02% QoQ from 3.75% QoQ in Q1. On a YoY

basis, the economy grew by 5.18% YoY, up from 4.92% growth in Q1. Governmentspending accelerated during the second quarter, growing by 6.28% YoY while house-hold spending grew 5.04% YoY, driven by higher demand during the month of Ramad-han. However, investment growth declined to 5.04% in Q2 from 5.57% in Q1. Theagricultural, forestry, and fishery sector recorded the highest QoQ growth of 11.9% inthe second quarter as it coincided with the harvest season. The economic growth inQ2 exceeded Bank Indonesia’s estimate as the central bank only expected 4.92% YoYgrowth in Q2.77,78

NUS RMI-CRI Quarterly Credit Report, Q2/2016 33

• Consumer price index increased by 0.89% during Q2 from 123.19 in April to 124.29 inJune while the CPI only grew 0.11% in Q1. Higher inflation in Q2 was attributed to theholy fasting month Ramadhan, in which food prices spiked due to higher demand, whilethe transport and utility cost rose due to higher global oil price. Volatile foods inflationwas recorded at 8.12% YoY in June whereas administered prices inflation recorded at0.50% YoY. CPI inflation in the holy fasting month was under control and lower than theaverage for the previous four years due to close coordination between the Indonesiangovernment and the central bank. Bank Indonesia projected that inflation would remainunder control within the inflation target of 4+1% in 2016.79

• Wages of Indonesian workers increased in Q2. Nominal wage of farmers per dayincreased by 0.14% during Q2 from IDR 47,731 in April to IDR 47,796 in May.80

• Indonesia reported a higher trade surplus of USD 0.90bn in June 2016 as compared toUSD 0.49bn trade surplus in March 2016. The increase in trade surplus was attributedto high export volume in June, which was supported by increase in non-oil and gasexport value. The export value of the non-oil and gas sector stood at USD 11.7bn,up by 11.1% from USD 10.6mn in March. Metal ore, slag, and dust exports recordedthe highest increase of 128.7% MoM in June whereas exports of fats and animal andvegetable oils are the largest contributor, standing at USD 1.29bn. United States wasIndonesia’s top non-oil and gas export destination, followed by Japan and China.81

• According to Nikkei Indonesia PMI, Indonesia’s manufacturing sector expanded froman index level of 50.6 in March to a 23-month high of 51.9 in June. Business conditionsimproved in June in light of faster increase in book orders, encouraging companies toramp up production and hire more workers. Output growth was mainly driven by in-crease in domestic demand, which saw a sharper rise in new business inflows whereasnew orders from abroad decreased in June. Manufacturing employment rose for thefourth consecutive months in June and at the fastest pace on record.82

Monetary• On June 16, the BI Board of Governors agreed to lower the benchmark rate to 6.5%

from 6.75%, while reducing the deposit facility and lending facility rates to 4.50% and7.00% respectively. The decision is based on the board’s assessment that macroeco-nomic stability has been maintained in light of low inflation, a narrower current accountdeficit and relatively stable exchange rates. Lower BI Rate is expected to stimulatedomestic demand and drive domestic economic growth momentum, while maintainingmacroeconomic stability, amid weak global economy.83

• Bank Indonesia loosened macro prudential policy by raising the loan-to-value ratio(LTV) and financing-to-value ratio (FTV) on housing loans. In order to boost creditgrowth, the central bank also raised the floor on the Reserve Requirement - Loan toFunding ratio to 80% from 78%, while maintaining the ceiling at 92%. Along with thelower BI rate, the macroprudential policy easing is expected to support government’spolicy to sustain economic growth economic growth and accelerate government reform.The macroprudential policies would came into effect in August 2016.84

• Following the United Kingdom’s decision to leave the European Union, Bank Indonesiaasserted that the macroeconomic condition remains stable. In light of low inflation,a sustainable current account deficit, and stable exchange rates, the central bankperceived that the impact of the UK’s referendum would be minimal on the nationaleconomy, domestic financial markets as well as trade and investment activities. Movingforward, Bank Indonesia would continue to monitor risk stemming from Brexit.85

NUS RMI-CRI Quarterly Credit Report, Q2/2016 34

Funding & Liquidity• Yield on Indonesia’s 5-year bonds fell to 6.96% in July, the lowest in 16 months. The

fall in yield was triggered by the passing of the tax amnesty bill, which is expected tobring inflows of repatriated assets back to Indonesia. In light of higher bond yields andstrengthening rupiah, Indonesia’s bonds are more attractive than its emerging Asianpeers’.86

• Indonesia’s official reserve asset position increased from USD 107.5bn in end-Marchto USD 109.8bn in end-June. The increase was attributed to foreign exchange receiptswhich outweighed the use of foreign exchange among other for repayments of govern-ment external debt and Bank Indonesia foreign exchange bills matured during period.The foreign exchange receipts primarily came from the issuance of government globalbonds, the auction of Bank Indonesia foreign exchange bills, tax revenues and oil &gas export proceeds. The reserve asset position can adequately cover 8.4 months ofimports or 8.1 of imports and servicing of government external debts. The improvementin reserve asset position will strengthen the resilience of the external sector and sustaineconomic growth in Indonesia.87

• Indonesia’s long-term external debt growth in May 2016 grew by 6.0% (YoY) comparedto 5.7% (YoY) growth at the end of Q1. Indonesia external debt position as of May 2016stood at USD 275.5bn. Private sector external debt totalled USD 163.6bn (52.1% ofthe total external debt) while public sector external debt stood at USD 150.7bn (47.9%of the total external debt). Private sector external debt declined by 3.5% YoY in Junewhereas the public sector external debt grew by 12.8% YoY.88

Regulation• On June 28, Indonesia’s House of Representatives passed a new tax amnesty law,

which encourages Indonesians with undeclared assets abroad to declare and repatriatetheir assets back to Indonesia. Taxpayers who declare their assets and repatriatethem within the first three months would enjoy 2% tax rates while Indonesians whodeclare but do not repatriate their assets would be charged with 4% tax rate. The taxrates will increase for taxpayers, commensurate to the duration taken by the taxpayerto declare and repatriate their assets. The funds repatriated needs to be invested inseveral instruments that had been prepared by the Indonesian government.89

Sovereign Credit Ratings• S&P, Moody’s and Fitch kept their ratings on the local currency long term bonds of

Indonesia at BB+, Baa3 and BBB- ratings respectively in Q2. All the three credit ratingagencies have maintained their stable outlook on Indonesia’s sovereign debt.90

NUS RMI-CRI Quarterly Credit Report, Q2/2016 35

Indonesian BanksThe credit profiles of Indonesian banks have weakened in Q2. Loan growth improved in thesecond quarter, rising from 7.95% YoY in April to 8.89% YoY in June. Despite the boost incredit growth, Indonesian banks’ asset quality continued to worsen in the second quarter.In face of weak commodity prices and domestic demand, the non-performing loans (NPL)ratio of Indonesian banks climbed to 3.11% in May from 2.83% in March. Consequently,banks reported weaker profit in the second quarter due to larger provisions against badloans. It is expected that Indonesian bank’s NPL would continue to increase in Q3. However,Indonesian banks will remain resilient as they are well capitalized with an aggregate capitaladequacy ratio of 22.6% recorded in June.

Profitability• Indonesian banks experienced a slight improvement in their net interest margins (NIM-

s). The average trailing 12 months NIMs of 16 listed Indonesian banks increased from6.17% in Q1 to 6.25% in Q2.

• Indonesian banks’ profitability continued to weaken since the start of the year. Theaggregate earnings of 16 Indonesian banks fell by 9.43% QoQ in Q2, after slipping5.11% in the previous quarter.

Funding & Liquidity• The aggregate LATDB ratio for Indonesian banks improved in Q2, increasing from

16.9% in Q1 to 17.6% in Q2.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 36

• Indonesian banks are likely to see improving liquidity in light of the passing of the taxamnesty bill in late June 2016. As the bill is expected to repatriate USD 38bn to USD76bn in offshore assets back to Indonesia, banks will see a significant injection in theirliquidity and lower funding cost. The repatriation came timely as the loan-to-depositratio in the Indonesia banking sector stood at 89.47% in April. Indonesia’s Ministryof Finance has appointed 77 banks to absorb the repatriated assets. The repatriatedassets must remain in Indonesia for at least three years and the Indonesian governmenthas prepared several investment instruments to absorb the huge asset inflow.91

• The Jakarta 3-month interbank rate increased from 6.71% at the beginning of Q2 to7.23% by the end of Q2. Similarly, the 1-month interbank rate increased from 6.06% atthe beginning of Q2 to 6.74% by the end of Q2.92

Regulation• In April, the Indonesia’s Financial Service Authority (OJK) issued a new rule on the

licensing of securities company that deals with underwriter and broker-dealer activities.Under the new regulation, shareholders of a securities company are prohibited fromtaking up loans or using other financing facilities (e.g. share purchase of subscription ofnew shares) to fund its capital injection. Foreign ownership of shares in a securitiescompany is also limited to a maximum of up to 85% by a foreign financial servicecompany and up to 99% ownership by a foreign securities company that has beenregistered or is supervised by the capital market regulator in its home country.93

• In an attempt to boost REITs in Indonesia, the Financial Service Authority (OJK) is plan-ning to lay out regulations for Islamic REITs. Demand for Islamic REITS in Indonesiais rising given the large presence of takaful companies (Islamic insurance companies)and Middle Eastern investors. Despite the high demand, existing REITs in Indonesiaare currently not sharia-compliant. OJK deputy director hinted that the governmentis likely to provide an incentive for Islamic REITs, similar to the conventional REITs.Currently, REITs investors are only required to pay 0.5% tax income, lower than theprior tax of 5%.94

Asset Quality• According to Moody’s, Indonesian banks will maintain a rapid pace of loan restructuring

in 2016, due to the government’s relaxed guidance on loan restructuring and Moody’soutlook of further slowdown in the economy. Moody’s estimated that the amount ofrestructured loans will exceed the total amount of non-performing loans (NPL). Moody’salso viewed that the current economic and credit situation carries default risks on loansthat are restructured. Although the fast increase in restructured loans highlights adownside risk to the banking industry, the impact is likely to be minimal in light ofthe industry’s strong profitability. A key challenge highlighted is that loan restructuringdefers the recognition of NPLs, which will distort the bank’s asset quality, profitabilityand provisions.95

NUS RMI-CRI Quarterly Credit Report, Q2/2016 37

• Low commodity and oil prices, coupled with weak consumer demand continue to hauntIndonesian banks. The NPL ratio of Indonesian banks rose to 3.11% in May, the highestlevel since 2010 while loan growth slightly rose from 7.95% in April to 8.34% in May.The surge in bad loans resulted in higher provisions, which weighed down on bank’sprofitability. Fitch Ratings expects the NPL ratio to rise to 3.5% in 2016 in light ofweak domestic demand and mining industry. Despite the headwinds, Indonesian banksremain adequately capitalized. 96,97

77Aug 4, 2016, Indonesia Economic Growth Accelerates, The Wall Street Journal, http://www.wsj.com

78Aug 05, 2016, Indonesia‘s Economic Growth Reaches 5.18% in Q2, Tempo http://en.tempo.co

79Jul 1, 2016, Ramadan Inflation Controlled in 2016, Bank Indonesia, http://www.bi.go.id

80Jun 16, 2016, Real And Nominal Wage For Farmworker In Indonesia (Rupiahs), STATISTICS INDONESIA,http://www.bps.go.id/index.php

81Jul 15, 2016, Indonesia posts a trade surplus of USD 900mn in June, ANTARA News,http://www.antaranews.com

82Jul 1, 2016, Nikkei Indonesia Manufacturing PMI, Markit Economics, https://www.markiteconomics.com

83Jun 16, 2016, Macroeconomic Stability Maintained, BI Rate Lowered 25bps to 6.50%, Bank Indonesia,http://www.bi.go.id

84Jun 16, 2016, Macroeconomic Stability Maintained, BI Rate Lowered 25bps to 6.50%, Bank Indonesia,http://www.bi.go.id

85Jun 26, 2016, Economic Resilience Maintained in Indonesia despite Brexit, Bank Indonesia,http://www.bi.go.id

86Jul 12, 2016, Indonesias Five-Year Yield Sinks to 16-Month Low on Tax Amnesty, Bloomberg,http://www.bloomberg.com

87Jul 14, 2016, Official Reserve Assets Increased to USD 109.8bn as of end-June 2016, Bank Indonesia,http://www.bi.go.id

88Jul 19, 2016, External Debt Statistics of Indonesia - July 2016, Bank Indonesia, http://www.bi.go.id

89Jun 29, 2016, Indonesia passes tax amnesty Bill, Straits Times, http://www.straitstimes.com

90Jun 6, 2016, Indonesia Sovereign Rating - June 2016, Bank Indonesia, http://www.bi.go.id

91Jul 6, 2016, Tax Amnesty Program Indonesia Launched: Which Investment Instruments?, IndonesiaInvestments, http://www.indonesia-investments.com

92Jun 31, 2016, Jakarta Interbank Offered Rate (JIBOR), Bank Indonesia, http://www.bi.go.id

93May 30, 2016, New OJK Regulation on Indonesian Securities Companies, Lexology,http://www.lexology.com

94May 27, 2016, OJK speeds up Islamic REITs to attract Middle East investors, The Jakarta Post,http://www.thejakartapost.com

95Apr 1, 2016, Moody’s on Indonesian banks: Rapid loan restructuring reflects weaker loan quality; strongbuffers to absorb losses, Moody’s, https://www.moodys.com/

96Aug 9, 2016, For local banks, worst may be over by year-end: Fitch, The Jakarta Post,http://www.thejakartapost.com

97Jul 27, 2016, ANALYSIS: Challenging time for Indonesian banking sector, The Jakarta Post,http://www.thejakartapost.com

NUS RMI-CRI Quarterly Credit Report, Q2/2016 38

Malaysian CompaniesThe RMI-CRI aggregate 1-year PD for Malaysian companies remained unchanged overQ2. Malaysia’s economy grew at a moderate rate, but the growth pace was lower than theprevious quarter, amid continued cyclical and structural weaknesses. The country’s inflationrate increased and unemployment stayed at 3.4% in Q2. The country’s higher economicgrowth rate was due to higher private consumption, private investments, public investmentand export growth. With the exception of the agricultural sector, most sectors registeredgains in the quarter. Money supply increased marginally and the overall domestic financialconditions remained stable even though the uncertain global environment could have animpact on the companies’ credit profiles.

Economy• Malaysia’s GDP expanded by 4% in Q2 2016 YoY, slowing down from 4.2% in the

previous quarters. Even though domestic demand expanded, net exports continuedto decline, weighing down on the economic growth. Private consumption, private in-vestment and public investment all grew at a faster pace of 6.1%, 5.6% and 7.5%respectively, supported by higher wage and employment growth, capital spending inthe services and manufacturing sectors as well as spending on fixed assets by thegovernment. Also, private consumption remained the key driver of growth. On thesupply side, except for the agriculture sector, all economic sectors expanded in Q2.98

NUS RMI-CRI Quarterly Credit Report, Q2/2016 39

• The Consumer Price Index had increased to 114.8 (2010=100) in June 2016, up from113 in June 2015. On a YoY basis, the price of the basket of goods had increasedby 1.6%. The YoY increase was mostly driven by alcoholic beverage and tobacco,recording at a 21.9% increase.99

• Malaysia’s employment enjoyed a moderate net gain of 66,000 jobs, almost equal tothe expansion of the total labor force in Q2. Its unemployment rate, thus, remainedunchanged at 3.4% in the Q2 2016. Labor participation sustained at 67.6% of the totallabor force, also remained unchanged from the previous quarter.100

• In June 2016, Malaysia’s export grew MYR 2.2bn, up by 3.4% YoY. This was mainlyattributed to electrical and electronic (4.9%), refined petroleum (34.9%) and timber andtimber-based products (8.1%). Meanwhile, Malaysia’s total import value increased by8.3% YoY to MYR 60.9bn. This was mainly attributed to the increase in intermediategoods (5.7%), capital goods (12.8%) and consumption goods (1.8%). Total trade valuein June 2016 has increased by 5.7% YoY to MYR 127.4bn, up by MYR 6.8bn. Totaltrade surplus stand at MYR 5.5bn, down by 30.8% YoY.101

Monetary• Bank Negara Malaysia announced that it would reduce the Overnight Policy Rate (OPR)

at 3%, with ceiling and floor rates reduced to 3.25% and 2.75% respectively. 102

• In June 2016, average trailing 12-month broad money, or M3, which measures themoney supply, increased marginally by 0.02%, compared to May 2016, to MYR 1.6tn.103

• Malaysia’s central bank said that, with macro and micro prudential measures and su-pervisory oversight resulting in more prudent lending standards and speculative activ-ities being contained, the overall domestic financial conditions have remained stable.Domestic demand continues to be the main driver of the economy. However, theuncertainties in the global environment could weigh on Malaysia’s growth prospects.104

Funding & Liquidity• The market indicative yield on the 10-year Malaysia government securities slipped to

3.74% at the end of June 2016 from 3.90% in the previous month. The same yieldmeasure on 5-year Malaysia government securities also decreased to 3.37% from3.74% over the same period.105

• Bank lending to finance, insurance and business activities increased to MYR 8.8bnin June 2016 from MYR 8.7bn one year ago. Meanwhile, loans disbursed to themanufacturing and the wholesale, retail trade, restaurants and hotels segments shrankby 9.9% and 8.7% YoY respectively.106

Politics• The Deputy Finance Minister, Johari Abdul Ghani said the Malaysian government would

not protect any individuals committing any offense outside the country. The statementwas made a week after the US Justice Department filed a civil lawsuit to seize assetsbought using a USD 3.5bn misappropriated fund from the 1Malaysia Development Bhd(1MDB). The 1MDB also announced that the 2013 and 2014 audited financial state-ments ”should not be relied on by any party, pending final and conclusive determinationby a court of law of certain so like alleged facts” in the US complaint. There are 32references in the complaint to ”Malaysian Official 1” for receiving hundreds of millionsof dollars in funds through 1MDB. A person with direct knowledge said the ”MalaysianOfficial 1” is Mr Najib, the Prime and also the Finance Minister of Malaysia. Both theMalaysian government and 1MDB would cooperate with any lawful investigation.107

NUS RMI-CRI Quarterly Credit Report, Q2/2016 40

• The Malaysia Ringgit first rose from MYR 3.88 at the start of April 2016 to MYR 4.16per one USD at 1 June 2016, highest in Q2 2016 and then fell to MYR 3.99 at the end ofJune 2016. The Malaysia Ringgit was trading at MYR 4.02 per one USD as of 1 August2016. Gao Qi, a strategist at Scotiabank in Singapore said that a falling oil price andthe 1MDB controversy will weigh on the ringgit.108

Sovereign Credit Ratings• The Malaysian government maintained its sovereign credit ratings at all three rating

agencies. The country was rated at A3, A- and A- respectively by Moody’s, S&P andFitch. Moody’s, S&P and Fitch assigned a stable outlook for their ratings on Malaysia.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 41

Malaysian BanksThe RMI-CRI aggregate 1-year PD for Malaysian banks declined in Q2 as the bankingsystem was well capitalized. Banks continued to report stable funding levels with a slightincrease in impairment losses. The demand for bank loans had increased in the secondquarter driving up the lending rate in Malaysia. Bank deposits remained relatively stable inthe second quarter, but operating conditions could remain challenging in the face of lowercrude oil prices, weak external demand and a falling Malaysian Ringgit. The controversysurrounding the 1MDB issue may also shroud the credit outlook for Malaysian lenders.

Lending• The amount of bank loan applications has increased to MYR 76.2bn in June 2016 from

MYR 72.1bn in March 2016. Loan application for working capital had fallen to MYR18.5bn in June 2016 from MYR 19.1bn in March 2016.109

• The base lending rate of Malaysian commercial banks increased slightly from 6.8% inMarch 2016 to 6.81% in June 2016. The weighted base rate also demonstrated slightincrement from 3.79% in March 2016 to 3.83% in June 2016.110

NUS RMI-CRI Quarterly Credit Report, Q2/2016 42

Funding & Liquidity• Bank deposits, including repurchase agreements, remained relatively stable from March

2016 to June 2016. The repurchase agreement increased from MYR 15.8bn in March2016 to MYR 19.7bn in June 2016. On a YoY basis, repurchase agreements by financialinstitution increased by 24.7% in June 2016.111

• Savings deposit rates at commercial banks had increased from 1.03% in March 2016to 1.07% in June 2016. The 12-month fixed deposit rate had declined to 3.29% in June2016 after staying at a constant 3.31% for more than one year.112

Capital Levels & Regulations• The Malaysian banking system remained well capitalized. Both Common Equity Tier 1

Capital Ratio and Tier 1 Capital Ratio had increased to 12.9% and 13.9% in June 2016from 12.5% and 13.3% one year ago, respectively.113

Asset Quality• The value of impaired loans at Malaysian banks had increased to MYR 24.3bn in June

2016 from MYR 23.2bn in March 2016. Its ratio to total loans had risen marginally by10bps on a QoQ basis to 1.3%.114

98August 12, 2016, Economic And Financial Developments In Malaysia In The Second Quarter Of 2016,Bank Negara Malaysia, http://www.bnm.gov.my

99July 20, 2016, Consumer Price Index Malaysia June 2016, Department of Statistics Malaysia,https://www.statistics.gov.my

100August 12, 2016, Economic and Financial Developments in the Malaysian Economy in the Second Quarterof 2016, Bank Negara Malaysia,http://www.bnm.gov.my

101August 5, 2016, Monthly External Trade Statistics June 2016, Department of Statistics Malaysia, http-s://www.statistics.gov.my

102July 13, 2016, Monetary Policy Statement, Bank Negara Malaysia, http://www.bnm.gov.my

103August 12, 2016, Economic and Financial Data for Malaysia, Bank Negara Malaysia, http://www.bnm.gov.my

104July 13, 2016, Monetary Policy Statement, Bank Negara Malaysia, http://www.bnm.gov.my

105August 12, 2016, Economic and Financial Data for Malaysia, Bank Negara Malaysia, http://www.bnm.gov.my

106June 30, 2016, Monthly Statistical BulletinJun 2016, Bank Negara Malaysia, http://www.bnm.gov.my

107July 26, 2016, Malaysia Wont Interfere With Foreign 1MDB Legal Action, Wall Street Journal,http://www.wsj.com

108August 1, 2016, Ringgit Jumps Most in Four Months as Oil Gain Boosts Sentiment, Bank Negara Malaysia,http://www.bloomberg.com

109June 30, 2016, Monthly Statistical BulletinJun 2016, Bank Negara Malaysia, http://www.bnm.gov.my

110June 30, 2016, Monthly Statistical BulletinJun 2016, Bank Negara Malaysia, http://www.bnm.gov.my

111June 30, 2016, Monthly Statistical BulletinJun 2016, Bank Negara Malaysia, http://www.bnm.gov.my

112June 30, 2016, Monthly Statistical BulletinJun 2016, Bank Negara Malaysia, http://www.bnm.gov.my

113June 30, 2016, Monthly Statistical BulletinJun 2016, Bank Negara Malaysia, http://www.bnm.gov.my

114June 30, 2016, Monthly Statistical BulletinJun 2016, Bank Negara Malaysia, http://www.bnm.gov.my

NUS RMI-CRI Quarterly Credit Report, Q2/2016 43

Europe

The RMI-CRI aggregate 1-year PD for European firms climbed upwards in June after stayingflat in April and May. European firms have their worst credit risk profile since 2012 as theBrexit vote weighed on equity values. The worst performing sector were financial companieswhile the credit profiles of energy firms strengthened during the quarter. The Italian bankingsector was under pressure as weakness in the Italian economy weighed heavily on thebanks’ credit quality. The British Pound devalued by more than 7%, forcing the Bank ofEngland to cut interest rates. Higher oil prices helped to lift the earnings profile of energycompanies. Weak economic growth could affect the creditworthiness of European compa-nies and the ECB is likely to keep a accommodative monetary policy for the foreseeablefuture.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 44

Greek CompaniesThe RMI-CRI aggregate 1-year PD for Greek companies remained volatile in Q2, but even-tually settled at the same level in June from March. Financing conditions for companies havestabilized thanks to the third bailout programme. The economy is expected to contract by0.7% this year and a mild recovery is foreseen in 2017. Borrowing costs may remain highas the banks are still grappling with non-performing assets on their balance sheet. However,capital controls may be eased in the second half of the year with the implementation offurther economic reforms. Investors are unlikely to rush back to invest in the country, whichbuilds up a uncertain credit outlook for Greek companies. The political environment is alsofragile as the current party still makes up a small majority in Parliament.

Economy• Greece’s nominal GDP grew marginally by 0.2% QoQ in the second quarter of 2016.

It was the first QoQ expansion since 2015, following a 0.2% contraction in Q1. If weexamine the first six months of data, the economy contracted more this year than lastyear.115,116

• The Greek unemployment rate remained unchanged in April and May at 23.5%, thehighest level in the entire Eurozone. The number of unemployed workers soared to1.123mn, most of whom are between 15 to 24 years old. 50.3% of the people between15 and 24 years old are unemployed in the country.117

• According to Bloomberg data, the Markit Greece Manufacturing PMI fell from 49.7 inApril 2016 to 48.4 in May 2016, before rising to 48.7 in July 2016.

• Greece’s consumer confidence indicator rose from -71.9 at the end of Q1 2016 to -68.0at the end of Q2 2016.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 45

• Greek retail sales dropped 2% and 6.4% in April and May, respectively, led by salesof fuels, lubricants, apparel and groceries. Tax hikes and capital controls imposed lastyear continued to weigh on retail activity.118

Funding & Liquidity• Yields on ten-year Greek government bond had decreased from 8.48% in Q1 2016 to

8.07% in Q2 2016.

• Greek companies likely obtained lesser funding during the second quarter. Total out-standing loans to non-financial firms decreased slightly to EUR 89.957bn in June 2016from EUR 90.142bn in March 2016.119

Policy• On July 21, the ECB lowered the cap on emergency liquidity assistance which Greek

banks can draw from the domestic central bank, to EUR 57.2bn. Improvements inliquidity and stabilization of private sector deposit flows were some of the reasons forthis move.120

Sovereign Credit Ratings• After affirming Greece’s sovereign rating at CCC on March 11, Fitch’s sovereign ratings

for Greece remains at CCC. S&P’s sovereign rating for Greece was B-, and Moody’srating was Caa3.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 46

Greek BanksThe RMI-CRI aggregate 1-year PD for Greek banks increased during Q2, indicating a milddeteriorating credit profile within the sector. However, funding conditions have stabilizedand liquidity in the banking system is likely to improve with the relaxation of capital controls.Higher limits on withdrawals and possible inflows of bank deposits would improve the creditprofiles of banks. However, the likelihood of deposit inflows would still be shaped by politicaldevelopments. The banking sector, as a whole, is still reliant on ECB funding, predominantlyusing the ELA through the Bank of Greece.

Profitability• Aggregate net income at listed banks in Greece rose to EUR 103mn in Q1 2016 from

EUR -4.1bn in Q4 2015.

• The average of NIM of Greek banks increased marginally from 2.24% in Q4 2015 to2.26% in Q1 2016.

Funding & Liquidity• Total deposits in Greek banking sector kept declining from EUR 117.1bn in Q4 2015 to

EUR 118.4bn in Q1 2016.121

NUS RMI-CRI Quarterly Credit Report, Q2/2016 47

• Overall liquidity in the Greek banking sector deteriorated during Q1 2016, with theaggregated LATDB ratio for listed banks declined from 6.6% in Q4 2015 to 6.3% inQ1 2016.

• However, in recent months, bank deposit rates have risen, with business and householddeposits posting an increase of EUR 1.04bn in June, rising for the second time.122

Asset Quality• The ECB reinstated Greek banks’ access to post government-guaranteed debt as col-

lateral in exchange for normal funding. Greek’s debt is rated as ”junk” by creditors andminimum rating requirements are waived for Greece.123

• Greece’s central bank has eased capital controls in an effort to attract deposits. Specif-ically targeting controls that restrict individual depositors and small businesses fromcash withdrawals, restrictions of withdrawals of new cash will be abolished. However,restrictions are still in force on other cash transactions.124

Bank Credit Ratings• On Aug 2, S&P upgraded its ratings for Alpha Bank AE, Eurobank Ergasias SA, National

Bank of Greece SA and Piraeus Bank SA to CCC+ from SD. S&P also gave a stableoutlooks to these banks. The upgrades come after the loosening of capital controls forGreek banks.

• Fitch Long-Term Issuer Default Ratings of National Alpha Bank AE, Eurobank ErgasiasSA, National Bank of Greece SAand Piraeus Bank SA remained at Restricted Default(RD).125

115Aug 29, 2016, Greek economy grows in second quarter but strong rebound elusive, Reuters,http://www.reuters.com/

116Aug 29, 2016, Greek GDP contraction in H1 was worse than thought, Ekathimerini,http://www.ekathimerini.com/

117Aug 4, 2016, Unemployment rate in Greece remains steady in May, Econo Times, http://www.econotimes.com/

118Jul 29, 2016, Greek retail sales fall 6.4 pct y/y in May, led by fuels, Reuters, http://www.reuters.com/

119Jan 29, 2016, Loans vis-a-vis euro area NFC reported by MFI excluding ESCB in Greece (stock), StatisticalData Warehouse, http://sdw.ecb.europa.eu/home.do;jsessionid=929001E936A6A808E2CF70F3E60744CF

120Jul 21, 2016, ECB lowers funding cap to local lenders, Ekathimerini, http://www.ekathimerini.com/

121Feb 4, 2016, ECB lowers emergency funding cap for Greek banks as liquidity improves, Reuters,http://www.reuters.com/

122Jan 22, 2015, Greece credit rating upgraded by S&P amid reforms, CNBC, http://www.cnbc.com/

123May 12, 2016, EC Suggests Looser Approach to Capital Controls on New Money, GreekReporter,http://greece.greekreporter.com/

124Nov 26, 2015, ERBD to invest EUR 250m in Greek banks, Public Finance International,http://www.publicfinanceinternational.org/

125Jun 21, 2016, Fitch Affirms Greek Banks at ’RD’ on Capital Controls, Fitch Ratings,https://www.fitchratings.com/

NUS RMI-CRI Quarterly Credit Report, Q2/2016 48

UK CompaniesThe aggregate RMI-CRI 1-year PD for companies in the UK had gradually climbed sinceQ1 2016 with mounting uncertainty over Brexit peaking at the end of June following theconfirmation of the vote for exit in the referendum. However, the correction of the rising PDcame very soon after the event, as the economic fundamentals of UK remains stable. TheQ2 GDP kept growing, the unemployment rate slightly improved, and the BOE reinforced itseasy monetary policy.

Economy• The UK’s Q2 GDP was estimated to have grown by 0.6%, compared with Q1 GDP

growth of 0.4%. The economy increased in two of the major groups. Services increasedby 0.5%, while production increased by 2.1%; on the contrary, construction decreasedby 0.4%, while agriculture decreased by 1.0%. In terms of annual comparison, the Q2GDP was 2.2% higher than the same period of 2015.126

NUS RMI-CRI Quarterly Credit Report, Q2/2016 49

• The unemployment rate in the UK fell to 4.9% between March and May 2016. Thenumber of jobless people was 1.65mn between March and May, dropping by 54,000from the previous three months. The number of people working increased further by176,000 compared with the previous quarter, bringing the employment rate to 74.4% -the highest level since 1971. The total number of people working full-time amounted to23.19mn during the quarter, an increase by 401,000 YoY.127

• The market researcher GfK sees that people were generally worried about their finan-cial profiles, broader economy and timing to make big purchases. According to thesurvey, the consumer confidence in the UK plummeted to -12 in July from -1 beforethe Brexit referendum, a change that marked the sharpest MoM slump since March1990.128

• The Markit/CIPS purchasing managers’ index for the manufacturing sector fell to thenewly record-low level since February 2013. The UK manufacturing PMI went downfrom 52.4 in June to 48.2 in July, which is even lower than the earlier flash estimateof 49.1. Likewise, the Markit/CIPS PMI for the construction sector decreased again inJuly, while the new orders fell at a slower pace than in June.129130

• Twelve-month CPI grew to 0.3% in May 2016 and remaining well below the inflationtarget of 2%. This shortfall was mainly attributed to the extraordinarily large drags fromenergy and food prices which are expected to fade over next year.131

Monetary• In the meeting in August, the Bank of England’s Monetary Policy Committee (MPC)

voted for a package of measures to further support economic growth and achieve asustainable return of inflation to the target. The package includes a rate cut from 0.5%to 0.25%, the Term Funding Scheme to reinforce the rate cut effect, the purchase of upto GBP 10bn of UK corporate bonds and an expansion of the asset purchase schemefor GBP 60bn UK government bonds. Most of the measures above will be financed bythe central bank’s reserves.132

Politics• Although the former Prime Minister David Cameron had reiterated the importance of

remaining in the EU to avoid the severe impact on its economy, the result of thereferendum on Jun 23, 2016 disappointed him. Immediately after the vote, the PrimeMinister David Cameron announced his resignation. He was succeeded by TheresaMay on Jul 13, 2016.

• Responding to the result, the Labor Party faces a leadership challenge. Also, theScottish Government announced that it would plan for a possible second referendumon the region’s independence from UK.133

Sovereign Credit Ratings• Following the Referendum on Jun 23 that determined the exit from the European Union,

S&P downgraded the UK’s sovereign credit rating from AAA to AA; Likewise, Fitchamended its rating from AA+ to AA. While Moody’s reaffirmed the UK’s credit rating ofAa1, it changed the country’s outlook to negative from stable.134135

NUS RMI-CRI Quarterly Credit Report, Q2/2016 50

UK BanksThe RMI-CRI aggregate 1-year PD for banks in the United Kingdom remained steady overApril and May but surged to over 100bps in June due to the worrying result of the referendum.Like the shape of the RMI-CRI aggregate 1-year PD for UK companies, the PD figure hadgradually improved since most of the market concerns were reflected at the end of June.In terms of fundamentals, while the funding and liquidity remained sufficient and the assetquality slightly improved during Q2, the profitability remains weak. Although the hardest hitby the Brexit Vote seemed to be passed through and the BOE reinforced its easy monetarypolicy, it is still too early for British banks to see a remarkable turnaround.

Profitability• According to the Monetary Financial Institutions’ quarterly income and expenditure

tables released by the BOE, the net interest receivable had decreased from GBP 15.5bnin Q4 2015 to GBP 15.3bn in Q1 2016.

• Also, the net fees and commissions had remained flat at around GBP 4.9bn across Q42015 and Q1 2016.136

• According to Bloomberg, big banks in the United Kingdom such as HSBC, Lloyd andBarclay registered a positive adjusted net income in Q2 2016. Whereas, Royal Bank ofScotland registered a negative adjusted net income in Q2 2016.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 51

Funding & Liquidity• According to the Bank Liabilities Survey produced by the BOE, UK banks and build-

ing societies asserted that their funding volumes were generally unchanged over Q22016. Specifically, the retail deposit funding had increased, while ’other’ funding, whichincludes the wholesale deposits and wholesale debt funding, had decreased. Lenderssaid that their total capital levels had further increased in Q2 2016. However, theaverage cost of capital had decreased slightly as reported by the lenders.

• The supply of deposits from households increased slightly, whereas the deposits fromprivate non-financial corporations was broadly unchanged in Q2 2016.

• Investor demand for the wholesale debt fell significantly again in Q2 2016.137

Asset Quality• The total write-offs of sterling-denominated loans increased from GBP 1.7bn in Q4 2015

to GBP 1.0bn in Q1 2016. For the same period, loan write-offs at private non-financialcorporations decreased from GBP 507mn to GBP 280mn.

• Similarly, the write-offs on loans denominated in foreign currency went down in Q12016, along with a 69% slump in the write-offs on loans to non-residents, which consti-tute the largest share of the total write-offs.138

126June 30, 2016, Gross domestic product, preliminary estimate: Apr to June 2016, ONS, http://www.ons.gov.uk

127July 20, 2016, UK unemployment rate falls to fresh 11-year low, BBC, http://www.ons.gov.uk

128July 29, 2016, UK sees biggest fall in consumer confidence for 26 years after Brexit vote, The Guardian,http://www.gfk.com

129August 1, 2016, UK PMI falls to lowest level since early 2013 at start of third quarter, Markit, http-s://www.markiteconomics.com/

130August 2, 2016, UK construction output falls again in July, but new orders decrease at slower pace, Markit,https://www.markiteconomics.com/

131August 2016, Inflation report by the Bank of England, BoE, http://www.bankofengland.co.uk/

132August 4, 2016 BOE Monetary Policy Committee Minutes for August, Bloomberg,http://www.bankofengland.co.uk/

133August 2016, United Kingdom European Union membership referendum, 2016, Wikipedia, http://www.ft.com/

134June 27, 2016, UK credit ratings cut: S&P and Fitch downgrade post-Brexit vote, CNBC,http://www.cnbc.com/

135June 24, 2016, Moody’s changes outlook on UK sovereign rating to negative from stable, affirms Aa1rating, Moody’s, http://www.bankofengland.co.uk/

136July 29, 2016, Bankstats (Monetary & Financial Statistics) - June 2016, BoE, http://www.bankofengland.co.uk/

137July 13, 2016, Bank Liabilities Survey 2016 Q2, BoE, http://www.bankofengland.co.uk/

138July 29, 2016, Bankstats (Monetary & Financial Statistics) - June 2016, BoE, http://www.bankofengland.co.uk/

NUS RMI-CRI Quarterly Credit Report, Q2/2016 52

Appendices

The appendices provide readers with a comprehensive overview of various outputs thatare produced by RMI-CRI’s operational probability of default (PD) system. While the PDsystem provides default forecasts at horizons ranging from one month to five years, hereonly RMI-CRI 1-year PDs are reported. In addition to the PD produced by the RMI-CRIsystem, important macroeconomic, corporate credit and sovereign risk indicators are pro-vided. These summarize the credit situation at a glance, as well as provide detailed data forreference purposes.

Appendix A and Appendix B give RMI-CRI 1-year aggregate PD where the aggregationsare by region, economy and sector. In these sections, the RMI-CRI 1-year aggregate PDis based on the median PD of active listed firms. These are given as month-end data, andare based on RMI’s default forecast model calibrated on August 03, 2016, using data up toJune 30, 2016. For a detailed description of RMI-CRI’s default forecast model, the TechnicalReport is available on our website.

Appendix A provides 1-year aggregate PD by economy and sector. For each economy, thegraph on the left shows the time series of 1-year aggregate PD for all exchange listed firmswithin the economy (thick blue, left axis), and the time series of the number of firms with PD(thin orange, right axis). The table on the right provides the median and standard deviationof PDs for firms within ten industry sectors at the end of Q1 2016 and Q2 2016. Note thatthe statistics are for firms that have a PD at both dates so that consistent comparisons canbe made. The median and standard deviation of the difference of individual PD is also given.The industry sectors are based on the Level I Bloomberg Industry Classification.

Appendix B gives 1-year aggregate PD by the seven regions of Asia-Pacific developed,Asia-Pacific emerging, North America, Latin America, Eastern Europe, Western Europe andAfrica & the Middle East. The top two graphs of each regions show the time series ofthe distribution of Probability of Default implied Ratings (PDiR). The PDiR methodology isdescribed in the last section of Appendix D. The different colored areas in the graph indicatedifferent PDiR classes. From the bottom, the blue area indicates the percentage of CCC/Cfirms, the bottom-most white area indicates B firms, the orange area indicates BB firms, themiddle white area indicates BBB firms, the green area indicates A firms, the top-most whitearea indicates AA firms, and the maroon area indicates AAA firms.

The bottom 12 graphs in each region show the time series of RMI-CRI 1-year aggregate PDfor all exchange listed firms in the region, all non-financial firms in the region, and firms ineach of the ten industry sectors in the region. Each graph shows the PD in thick blue on theleft axis and the count of firms with PD in thin orange on the right axis.

Appendix C provides common macroeconomic, corporate credit and sovereign risk indi-cators for each economy along with the RMI-CRI 1-year aggregate PD for financial andnon-financial firms. The graphs on the left give historical context to the values, and thetable on the right give the data from the previous five quarters. For variables that are morefrequent than quarterly, the last value in the quarter is used. But if a variable is available ata monthly frequency and the end of September data was not available at the time this reportwas compiled, the previous month’s data is given with an asterisk.

Appendix D gives a more detailed description of the data in Appendix C, along with adescription of the PDiR.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 53

A PD by economies

1996 2004 20120

200

400

Argentina, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

50

100Argentina 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 11 14.6 33.2 20.7 27.9 1.1 7.1Basic Materials 7 21.7 21.7 29.2 29.3 7.5 8.6Communications 3 1.5 2.1 1.8 3.0 0.4 0.9Consumer Cyclical 5 3.0 103.3 4.8 117.9 2.0 14.6Consumer Non-cyclical 15 3.1 22.8 3.8 41.5 1.5 18.8Diversified 1 9.6 – 11.1 – 1.5 –Energy 4 7.3 20.6 7.9 22.0 0.6 1.4Industrial 6 5.8 11.0 8.5 5.7 0.5 9.1Technology 1 0.3 – 0.5 – 0.3 –Utilities 8 6.1 2.8 8.2 4.5 2.8 2.3

1996 2004 20120

50

Australia, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

2000Australia 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 145 1.3 31.6 1.0 42.9 -0.1 24.3Basic Materials 514 6.3 36.0 4.8 46.4 -0.7 28.6Communications 79 2.9 13.1 3.2 13.7 -0.0 8.4Consumer Cyclical 75 2.1 11.8 2.1 15.7 -0.1 14.1Consumer Non-cyclical 205 2.3 72.6 1.9 31.3 -0.0 43.6Diversified 9 4.9 3.7 5.2 4.6 0.5 2.5Energy 157 10.6 63.4 8.6 47.9 -0.2 41.5Industrial 105 4.5 29.0 3.9 40.3 -0.1 24.8Technology 73 2.1 19.5 2.5 19.6 0.0 9.5Utilities 12 5.7 9.4 4.9 13.2 -0.3 6.5

1996 2004 20120

50

100

Austria, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

50

100 Austria 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 20 8.0 23.1 7.3 21.9 -0.4 3.4Basic Materials 3 3.5 5.7 2.3 5.6 -0.7 0.6Communications 1 6.4 – 4.7 – -1.7 –Consumer Cyclical 11 24.9 576.7 13.9 611.6 0.9 37.1Consumer Non-cyclical 7 12.4 9.6 9.7 9.7 -1.5 3.0Energy 4 10.1 3.0 9.2 4.1 -1.9 3.9Industrial 19 13.3 36.1 20.4 28.7 0.8 14.9Technology 3 5.5 7.8 5.1 10.0 -0.4 2.2Utilities 2 3.8 4.2 2.9 3.0 -1.0 1.2

20120

10

20

30

Bahrain, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

10

20

30

Bahrain 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 10 42.2 82.0 40.2 97.8 4.2 32.1Basic Materials 1 5.8 – 6.8 – 1.1 –Communications 1 0.2 – 0.6 – 0.4 –Consumer Cyclical 2 0.5 0.3 0.3 0.5 -0.2 0.1Industrial 1 26.3 – 16.4 – -9.9 –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 54

20120

10

20

30

Bangladesh, All firms1Y PD (LHS, bps) and # of firms (RHS)

2012150

200

250

300Bangladesh 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 98 29.8 56.0 22.0 58.7 -1.5 21.1Basic Materials 15 8.8 21.5 3.8 13.8 -1.6 8.8Communications 7 5.4 12.7 1.6 12.5 -0.3 3.6Consumer Cyclical 58 20.5 36.7 12.4 31.0 -5.4 19.6Consumer Non-cyclical 43 8.9 119.5 5.3 46.3 -1.0 78.8Diversified 1 15.7 – 37.1 – 21.4 –Energy 5 21.5 15.1 9.4 9.8 -4.6 8.1Industrial 29 9.4 29.4 5.4 31.2 -0.8 15.2Technology 1 1.8 – 2.0 – 0.2 –Utilities 8 2.1 12.6 1.8 8.7 -1.0 5.0

1996 2004 20120

5

10

15

20

25

30

35

40

Belgium, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

20

40

60

80

100

120

140

160Belgium 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 30 3.3 156.1 2.2 137.7 -0.2 19.2Basic Materials 8 10.6 17.8 7.5 10.3 0.1 9.6Communications 6 6.5 8.5 9.8 12.6 0.1 6.7Consumer Cyclical 6 4.3 4.0 4.6 2.4 0.2 2.0Consumer Non-cyclical 25 5.3 57.4 5.9 19.2 0.1 48.1Diversified 5 0.7 1.9 1.1 3.0 0.0 1.4Energy 2 40.3 38.4 38.4 24.8 -1.9 13.6Industrial 20 10.2 48.1 9.0 24.6 0.5 29.7Technology 4 4.2 2.8 4.4 2.4 -1.0 1.8Utilities 2 2.2 2.4 2.0 1.7 -0.2 0.8

20120

20

40

60

80

Bosnia and Herzegovina, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

20

40

60

80Bosnia and Herzegovina 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 3 17.4 4.5 25.6 11.2 8.2 6.9Basic Materials 1 30.9 – 10.3 – -20.6 –Communications 2 0.5 0.2 2.6 2.3 2.1 2.0Consumer Cyclical 1 21.3 – 17.4 – -3.9 –Consumer Non-cyclical 3 6.4 2.8 6.1 4.9 1.3 2.8Energy 3 21.2 65.4 28.7 63.7 0.7 4.1Industrial 1 96.8 – 104.3 – 7.5 –Utilities 6 27.1 57.3 28.0 75.7 5.7 19.0

1996 2004 20120

50

100

Brazil, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

200

400Brazil 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 57 76.9 251.3 74.7 328.7 -0.2 115.9Basic Materials 17 55.3 332.5 67.5 294.7 -0.3 90.8Communications 6 28.9 62.0 25.3 82.1 3.2 23.7Consumer Cyclical 45 39.3 430.8 46.6 418.3 -0.2 191.0Consumer Non-cyclical 44 38.2 238.1 22.3 109.7 -2.6 158.3Diversified 5 130.9 112.9 95.8 110.5 -0.3 49.0Energy 7 55.2 954.3 29.4 822.0 -4.6 143.2Industrial 26 136.1 426.5 105.3 478.1 -14.5 171.5Technology 4 3.8 67.9 3.7 55.3 -0.2 12.7Utilities 25 36.4 95.8 30.1 73.8 -3.6 54.9

NUS RMI-CRI Quarterly Credit Report, Q2/2016 55

2004 20120

50

100

150

Bulgaria, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

50

100

150 Bulgaria 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 15 27.3 17.5 22.7 26.2 1.8 15.3Basic Materials 3 18.2 7.7 13.4 4.6 -4.4 8.8Communications 2 48.4 40.7 37.3 21.9 -11.1 18.8Consumer Cyclical 2 17.0 2.5 19.2 2.5 2.2 5.1Consumer Non-cyclical 12 32.7 54.1 33.1 190.3 2.0 142.7Diversified 10 56.0 36.7 39.8 25.7 -0.6 16.7Energy 2 181.7 229.2 171.8 221.2 -9.8 8.0Industrial 15 15.4 17.0 12.5 18.6 -0.3 5.4Utilities 1 6.4 – 7.5 – 1.1 –

1996 2004 20120

50

100

Canada, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000Canada 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 132 5.3 371.1 4.8 149.7 -0.0 284.1Basic Materials 232 19.5 395.5 12.4 230.3 -3.5 223.9Communications 42 11.8 453.1 10.5 175.2 -0.1 329.7Consumer Cyclical 60 5.7 162.3 6.2 133.6 0.0 85.2Consumer Non-cyclical 104 21.3 219.0 18.5 145.8 -0.0 212.6Diversified 5 15.7 255.5 12.1 131.2 -4.0 124.7Energy 132 35.3 241.1 25.7 326.5 -3.4 157.1Industrial 68 9.6 115.6 7.4 164.4 -0.6 169.5Technology 33 22.0 515.1 20.4 204.4 0.1 353.8Utilities 12 6.5 10.8 4.6 9.0 -0.2 7.1

1996 2004 20120

10

20

30

Chile, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

50

100

150Chile 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 23 16.8 23.5 14.0 19.2 -0.3 10.5Basic Materials 13 8.7 53.8 8.3 31.0 -0.7 23.8Communications 3 20.2 21.7 24.9 11.6 0.1 12.9Consumer Cyclical 12 11.2 62.0 10.7 23.4 -2.4 39.2Consumer Non-cyclical 20 6.4 61.3 2.5 33.0 -0.3 34.8Diversified 5 4.3 31.6 4.8 21.4 0.5 10.3Energy 1 257.1 – 160.3 – -96.9 –Industrial 19 7.1 9.7 7.3 8.1 -0.0 5.6Technology 1 1.6 – 1.1 – -0.5 –Utilities 10 1.9 13.4 2.4 97.7 0.0 91.8

1996 2004 20120

200

400

China, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

2000

4000China 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 214 65.0 170.3 66.1 136.1 1.1 140.4Basic Materials 319 153.9 167.9 152.1 192.9 1.0 65.0Communications 159 44.6 145.6 53.2 138.9 1.7 63.2Consumer Cyclical 489 90.8 147.4 97.1 138.0 2.4 68.1Consumer Non-cyclical 453 86.2 123.6 85.8 164.3 0.3 85.4Diversified 28 213.4 108.2 217.1 116.1 9.7 62.3Energy 89 116.6 155.2 114.2 132.9 0.1 126.8Industrial 767 130.6 169.2 126.0 149.3 1.7 86.7Technology 162 64.2 78.7 68.0 73.6 -0.1 41.0Utilities 70 149.9 134.6 163.7 138.4 5.5 45.9

NUS RMI-CRI Quarterly Credit Report, Q2/2016 56

1996 2004 20120

50

Colombia, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

50 Colombia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 9 38.7 76.8 28.6 41.3 -6.5 51.0Basic Materials 2 9.2 6.6 7.5 4.2 -1.7 2.4Communications 1 12.9 – 10.6 – -2.3 –Consumer Cyclical 2 89.6 36.5 100.8 83.8 11.1 47.3Consumer Non-cyclical 1 0.8 – 1.0 – 0.2 –Diversified 2 13.5 4.8 11.7 7.1 -1.8 2.3Energy 3 24.2 20.4 32.2 10.7 -3.7 15.8Industrial 7 19.9 15.4 20.1 12.8 -1.3 6.3Utilities 4 7.1 15.0 8.7 13.8 0.0 1.9

20120

50

100

Croatia, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

100

200Croatia 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 8 13.1 60.8 14.7 61.0 1.1 9.2Basic Materials 3 42.2 56.5 31.1 38.0 -11.1 18.5Communications 3 0.5 40.4 0.9 38.3 -0.1 2.2Consumer Cyclical 26 9.2 99.3 8.7 136.8 -0.5 39.6Consumer Non-cyclical 21 17.5 64.3 32.4 42.0 1.8 37.0Diversified 1 16.9 – 23.4 – 6.6 –Energy 2 6.1 5.2 2.3 3.0 -3.8 2.2Industrial 14 80.5 86.8 57.2 71.0 -9.6 27.7

2004 20120

50

100

150

Cyprus, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

50

100

150

Cyprus 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 13 35.1 253.3 28.4 310.1 -0.4 230.9Basic Materials 3 75.6 23.0 44.7 21.9 -12.1 11.6Consumer Cyclical 6 36.7 32.7 37.3 24.6 -3.9 14.5Consumer Non-cyclical 6 31.4 39.3 36.0 32.9 -2.9 8.6Energy 4 721.6 747.2 337.8 516.6 -30.9 493.2Industrial 5 15.7 747.0 16.7 494.0 -1.6 265.9Technology 1 13.7 – 9.7 – -3.9 –

1996 2004 20120

50

100

150

200

Czech Republic, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

20

40

60

80Czech Republic 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 2 14.2 1.3 23.3 8.9 9.0 7.6Communications 1 29.3 – 30.3 – 1.0 –Consumer Cyclical 2 6.8 1.5 6.9 1.2 0.0 0.3Consumer Non-cyclical 2 3.2 3.5 4.0 5.0 0.8 1.5Diversified 1 0.9 – 1.1 – 0.2 –Energy 2 7.1 3.0 7.3 0.3 0.2 2.6Industrial 1 26.6 – 23.1 – -3.5 –Utilities 1 10.6 – 10.3 – -0.3 –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 57

1996 2004 20120

100

200

Denmark, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

100

200Denmark 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 42 50.5 110.0 63.8 128.5 4.5 50.6Basic Materials 1 1.4 – 1.7 – 0.3 –Communications 8 18.1 17.1 27.5 18.1 2.7 12.2Consumer Cyclical 17 30.4 142.9 30.1 102.7 0.8 44.5Consumer Non-cyclical 27 6.6 49.8 7.7 49.6 0.4 14.0Diversified 2 3.6 4.7 6.1 8.2 2.5 3.5Energy 1 10.1 – 14.5 – 4.4 –Industrial 32 24.5 332.8 30.0 342.3 1.6 35.7Technology 8 47.1 76.5 29.7 74.9 -0.5 71.5Utilities 1 60.0 – 40.2 – -19.8 –

20120

20

40

60

Egypt, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

100

200

300Egypt 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 67 33.9 87.4 27.0 92.4 1.3 28.6Basic Materials 22 16.7 37.7 20.8 44.3 0.8 10.3Communications 6 23.4 41.8 21.7 52.9 1.0 21.4Consumer Cyclical 23 25.3 29.4 27.6 27.8 2.3 15.3Consumer Non-cyclical 48 10.6 32.2 8.2 37.7 -1.0 18.1Diversified 1 21.7 – 9.0 – -12.7 –Energy 1 120.7 – 131.8 – 11.1 –Industrial 35 13.7 48.1 11.4 46.1 0.7 10.7Technology 1 13.6 – 17.6 – 4.0 –Utilities 1 79.0 – 45.1 – -33.9 –

2004 20120

50

100

150

Estonia, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20125

10

15

20

Estonia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 3 9.8 10.7 13.3 8.3 0.5 3.6Communications 1 5.4 – 5.0 – -0.5 –Consumer Cyclical 5 1.8 16.1 0.8 28.3 0.1 12.7Consumer Non-cyclical 1 30.0 – 29.4 – -0.6 –Industrial 4 1.2 2.3 1.4 2.5 0.1 0.3Utilities 1 0.7 – 0.2 – -0.5 –

1996 2004 20120

20

40

60

Finland, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

50

100

150 Finland 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 17 9.3 16.9 9.8 13.7 1.0 5.2Basic Materials 8 8.3 8.9 9.9 6.7 0.2 3.8Communications 13 6.6 14.6 8.9 18.8 0.8 12.5Consumer Cyclical 12 5.6 8.6 5.3 9.5 0.6 5.6Consumer Non-cyclical 22 8.7 50.7 8.5 46.9 -0.1 32.1Energy 2 12.4 12.5 26.0 32.4 13.6 19.9Industrial 36 5.5 26.1 6.5 39.3 0.0 31.8Technology 15 8.5 11.8 11.9 13.6 0.2 12.4Utilities 1 7.2 – 7.1 – -0.1 –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 58

1996 2004 20120

50

France, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

1000France 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 84 7.3 34.1 6.5 36.8 0.2 6.0Basic Materials 20 11.3 30.8 12.1 33.9 0.5 9.2Communications 62 14.1 52.0 13.5 63.2 0.9 26.0Consumer Cyclical 77 8.2 62.7 8.9 46.8 0.0 31.1Consumer Non-cyclical 123 6.9 13.4 7.5 13.5 0.0 9.7Diversified 7 16.9 48.9 19.0 44.8 0.5 6.6Energy 12 23.4 26.9 23.5 32.3 -4.4 18.7Industrial 109 9.1 37.0 7.7 34.1 0.0 14.8Technology 66 7.9 26.7 8.0 25.3 -0.1 12.5Utilities 10 9.0 10.5 6.7 9.5 0.3 4.1

1996 2004 20120

50

100

Germany, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000Germany 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 145 11.3 89.6 10.7 69.5 -0.2 60.5Basic Materials 22 9.2 54.0 9.2 71.4 -0.2 17.6Communications 59 8.4 87.9 10.6 169.9 0.1 125.9Consumer Cyclical 75 9.0 31.4 11.1 29.6 0.2 15.5Consumer Non-cyclical 95 10.1 448.6 9.2 112.6 -0.2 359.3Diversified 3 26.1 113.9 25.9 45.1 -0.2 68.8Energy 15 14.3 63.4 13.0 86.4 0.4 69.3Industrial 121 8.2 97.2 8.8 253.1 0.0 237.4Technology 68 6.0 123.5 7.2 113.5 -0.3 18.0Utilities 9 5.7 14.2 4.8 8.1 -0.3 7.2

1996 2004 20120

20

40

60

80

Greece, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

100

200

300

400Greece 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 17 38.6 75.0 36.3 33.7 -0.0 66.7Basic Materials 9 22.9 55.3 25.0 47.2 -1.1 15.8Communications 9 128.3 151.0 92.3 68.1 -14.7 119.7Consumer Cyclical 27 28.0 64.5 22.5 70.4 -1.4 24.3Consumer Non-cyclical 29 39.2 59.6 44.9 102.0 -1.2 77.4Diversified 1 49.5 – 22.3 – -27.3 –Energy 5 35.6 23.9 43.6 30.0 3.4 11.2Industrial 42 83.3 356.2 90.0 309.9 1.1 242.2Technology 7 25.9 16.6 24.6 21.7 -0.4 7.6Utilities 4 22.7 28.9 17.8 36.9 0.6 10.1

1996 2004 20120

200

400

600

Hong Kong, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000

1500Hong Kong 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 261 23.8 69.7 22.1 55.3 -0.6 28.4Basic Materials 60 47.6 105.9 30.0 231.6 -3.1 157.6Communications 79 20.6 100.3 20.9 46.8 -0.4 86.0Consumer Cyclical 256 15.5 46.9 15.9 52.4 -0.6 33.0Consumer Non-cyclical 143 17.3 149.8 16.9 128.0 -0.9 108.6Diversified 38 19.8 79.6 16.3 45.4 -0.9 53.9Energy 42 52.4 149.1 54.1 99.2 -0.5 108.9Industrial 211 28.1 106.2 22.4 107.8 -1.9 50.5Technology 50 23.6 70.3 19.5 57.0 -3.1 39.4Utilities 20 20.8 32.0 15.9 39.7 0.0 13.3

NUS RMI-CRI Quarterly Credit Report, Q2/2016 59

1996 2004 20120

200

Hungary, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

50 Hungary 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 9 20.9 25.2 26.6 62.7 5.7 43.8Communications 5 78.7 62.7 114.9 140.2 36.3 86.7Consumer Cyclical 3 48.8 26.7 38.8 23.3 -0.7 6.2Consumer Non-cyclical 7 54.2 68.0 55.2 54.5 0.0 48.0Diversified 2 108.7 14.5 102.7 95.5 -6.0 81.0Energy 2 112.8 148.0 95.0 119.2 -17.8 28.8Industrial 1 34.4 – 24.2 – -10.2 –Technology 2 31.6 7.2 31.3 11.3 -0.3 4.1Utilities 2 4.0 2.2 2.2 1.6 -1.8 0.6

2004 20120

100

200

300

400

500

Iceland, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

10

20

30

40

50

Iceland 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 5 3.2 4.2 8.1 3.8 1.1 3.6Communications 1 0.8 – 2.5 – 1.7 –Consumer Cyclical 2 0.8 0.6 3.1 3.5 2.3 2.9Consumer Non-cyclical 2 19.1 23.7 32.4 41.2 13.3 17.6Energy 1 6.1 – 3.1 – -3.0 –Industrial 3 2.1 2.4 5.6 4.3 -0.2 5.3Technology 1 7.5 – 8.8 – 1.3 –

1996 2004 20120

50

100

150

200

India, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

1000

2000

3000

4000India 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 248 41.4 211.5 37.1 158.2 -2.3 105.0Basic Materials 242 34.8 91.4 28.5 88.2 -4.3 44.9Communications 77 21.1 82.8 26.5 74.6 -0.1 29.7Consumer Cyclical 366 26.1 116.5 24.9 97.0 -1.9 65.4Consumer Non-cyclical 287 16.1 125.6 17.9 116.4 -0.0 39.3Diversified 19 43.2 103.9 34.9 75.1 -2.2 46.1Energy 35 45.4 89.3 63.0 79.9 0.7 31.2Industrial 419 28.1 112.7 25.1 99.1 -1.3 51.6Technology 97 11.7 219.9 10.0 207.7 -0.1 77.9Utilities 33 66.8 101.8 76.8 112.4 -0.0 34.5

1996 2004 20120

200

400

600

Indonesia, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

200

400

600Indonesia 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 122 28.7 58.3 27.2 50.4 -0.1 29.6Basic Materials 41 43.9 82.8 30.1 66.1 -6.7 27.7Communications 26 28.4 65.3 20.5 66.2 -0.5 20.3Consumer Cyclical 66 18.8 54.2 16.1 51.7 -1.1 14.5Consumer Non-cyclical 73 15.9 155.7 14.0 76.0 -1.3 97.8Diversified 1 111.4 – 88.9 – -22.5 –Energy 28 34.9 147.0 21.6 109.9 -2.9 120.1Industrial 66 26.3 39.3 23.8 69.3 -1.2 45.2Technology 7 4.3 44.5 5.5 46.8 0.7 4.9Utilities 2 71.9 10.0 67.8 6.1 -4.1 3.9

NUS RMI-CRI Quarterly Credit Report, Q2/2016 60

1996 2004 20120

20

40

60

80

100

Ireland, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

20

40

60

80

100Ireland 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 11 26.1 23.9 42.3 42.4 12.9 20.1Basic Materials 10 47.0 135.9 30.0 60.4 -17.0 107.9Communications 4 17.2 96.3 22.8 26.9 1.5 73.8Consumer Cyclical 4 13.3 6.7 17.6 15.8 4.8 10.2Consumer Non-cyclical 26 3.3 75.4 4.8 176.3 0.4 107.1Energy 7 44.9 197.2 69.6 661.6 27.4 509.1Industrial 6 4.3 22.2 7.7 22.2 0.5 2.2Technology 3 0.2 3.2 0.2 2.7 0.0 0.6

1996 2004 20120

50

100

Israel, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000 Israel 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 117 12.2 242.8 9.8 182.5 -0.2 72.3Basic Materials 14 8.2 29.6 9.9 42.2 -0.1 15.5Communications 34 12.8 107.4 15.0 108.6 0.4 47.8Consumer Cyclical 47 9.3 40.7 8.7 39.1 -0.1 28.7Consumer Non-cyclical 104 11.1 167.1 11.2 105.3 0.3 113.9Diversified 10 8.9 33.5 10.6 20.1 0.2 21.9Energy 30 9.2 71.0 8.5 83.2 -0.4 27.7Industrial 82 8.3 101.6 9.7 60.8 -0.0 50.1Technology 32 5.4 29.3 4.9 22.8 -0.1 16.6

1996 2004 20120

50

100

Italy, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

200

400Italy 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 56 34.5 75.8 44.2 86.0 7.1 28.0Basic Materials 4 10.9 9.5 10.1 6.3 -2.4 5.2Communications 36 18.3 38.2 19.4 41.4 1.7 19.4Consumer Cyclical 47 14.1 30.3 14.9 40.2 0.1 31.1Consumer Non-cyclical 40 11.8 56.7 12.1 166.7 0.8 123.9Diversified 3 22.6 24.5 24.7 9.6 -10.5 28.1Energy 18 16.1 34.7 20.7 48.7 1.5 20.8Industrial 48 11.7 94.4 15.0 98.6 1.2 64.3Technology 15 13.4 51.2 16.6 41.6 0.5 12.3Utilities 12 7.1 43.1 7.4 99.8 0.8 56.8

20120

10

20

30

40

Jamaica, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

10

20

30

40

Jamaica 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 11 17.0 19.2 28.1 22.8 3.3 15.2Basic Materials 2 18.7 25.2 12.0 16.4 -6.6 8.8Communications 3 80.7 52.5 127.4 43.8 -12.9 55.0Consumer Cyclical 4 4.2 1.4 3.7 1.3 0.4 1.9Consumer Non-cyclical 9 22.9 10.6 23.4 14.1 -0.2 6.8Diversified 3 4.8 14.4 40.3 21.1 11.4 19.9Industrial 3 2.8 3.0 3.0 2.3 -0.0 0.9

NUS RMI-CRI Quarterly Credit Report, Q2/2016 61

1996 2004 20120

50

Japan, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

5000Japan 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 330 10.4 42.3 13.4 58.1 1.3 25.0Basic Materials 240 6.1 10.9 6.7 12.9 0.2 6.6Communications 262 2.6 12.8 3.0 15.4 0.1 7.3Consumer Cyclical 856 4.5 16.1 4.8 16.5 0.1 8.1Consumer Non-cyclical 608 1.8 10.1 1.7 10.7 0.0 4.6Diversified 3 26.8 12.3 29.5 26.0 0.5 17.1Energy 16 10.4 15.0 8.8 13.9 0.4 5.5Industrial 964 5.2 12.0 5.9 34.1 0.3 30.2Technology 294 2.4 10.5 2.8 11.6 0.1 6.5Utilities 21 7.5 13.5 10.4 19.6 1.8 10.7

2004 20120

20

40

60

80

Jordan, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

50

100

150

200Jordan 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 87 7.7 44.9 9.6 41.2 0.1 16.7Basic Materials 16 19.5 39.5 23.7 32.0 0.9 21.6Communications 2 36.1 36.4 34.2 12.3 -1.9 24.0Consumer Cyclical 15 14.1 47.7 11.8 52.0 -0.0 20.9Consumer Non-cyclical 25 9.2 31.2 6.3 23.0 -0.7 12.6Diversified 2 39.3 43.9 41.1 54.4 1.8 10.5Energy 2 5.8 8.0 4.8 6.6 -0.9 1.4Industrial 22 12.3 58.2 11.7 114.3 -0.0 70.8Technology 1 89.8 – 55.8 – -34.0 –Utilities 2 33.6 4.4 36.0 5.1 2.4 9.5

20120

100

200

300

Kazakhstan, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

5

10

15

Kazakhstan 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 3 154.4 81.1 131.4 72.8 -23.0 8.2Basic Materials 1 3.0 – 6.3 – 3.3 –Communications 1 24.9 – 8.8 – -16.0 –Energy 2 5.8 6.4 5.4 6.4 -0.4 0.0Utilities 1 20.1 – 16.2 – -3.8 –

2004 20120

20

40

60

80

Kuwait, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

50

100

150

200 Kuwait 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 78 25.0 65.3 23.7 75.9 0.4 26.7Basic Materials 4 2.8 13.1 4.6 12.5 0.2 1.5Communications 6 7.6 18.2 13.6 27.7 4.4 11.1Consumer Cyclical 15 34.5 32.4 34.8 28.1 -1.1 15.1Consumer Non-cyclical 10 8.1 56.8 6.5 47.3 -0.2 10.0Diversified 6 37.4 30.3 36.1 20.8 -2.7 13.0Energy 6 69.4 52.7 41.8 46.2 -2.0 26.0Industrial 21 20.5 22.9 17.2 21.5 -0.1 13.6Technology 1 0.7 – 0.3 – -0.4 –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 62

2004 20120

50

100

150

Latvia, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

10

20

30

Latvia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Communications 1 2.9 – 2.5 – -0.5 –Consumer Cyclical 2 127.0 121.5 125.5 144.9 -1.5 23.4Consumer Non-cyclical 4 10.0 5.7 10.0 4.8 -0.5 1.9Industrial 4 15.6 17.3 15.4 11.2 -0.2 6.2Utilities 1 0.9 – 0.4 – -0.6 –

2004 20120

20

40

60

80

100

120

140

160

Lithuania, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

5

10

15

20

25

30

35

40Lithuania 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 5 13.5 45.5 8.4 53.6 0.9 8.9Basic Materials 1 40.3 – 33.6 – -6.6 –Communications 1 0.0 – 5.0 – 5.0 –Consumer Cyclical 3 33.0 20.2 43.1 25.8 8.4 5.7Consumer Non-cyclical 6 5.9 9.7 6.7 11.2 0.8 7.4Energy 1 0.4 – 0.5 – 0.0 –Industrial 2 47.6 21.4 47.1 14.1 -0.5 7.4Utilities 2 20.6 20.2 24.3 13.4 3.7 6.7

1996 2004 20120

100

Luxembourg, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

50

Luxembourg 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 12 10.4 690.7 11.4 238.9 -1.0 452.2Basic Materials 5 15.5 16.5 12.4 26.1 1.4 10.1Communications 4 18.9 1588.8 19.6 839.9 -3.4 748.9Consumer Cyclical 2 232.2 325.0 206.3 286.1 -25.9 38.9Consumer Non-cyclical 5 5.1 19.6 9.8 21.8 1.6 2.8Industrial 7 7.6 19.6 13.5 22.1 0.2 7.2Technology 3 1.2 3.7 1.0 2.9 -0.5 0.8

20120

20

40

60

80

100

120

Macedonia, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

5

10

15

20

25

30

Macedonia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 6 12.1 12.4 12.0 13.0 2.2 2.7Basic Materials 3 72.4 34.2 20.3 39.3 -4.0 38.2Communications 1 2.0 – 2.7 – 0.7 –Consumer Cyclical 2 9.6 13.6 8.0 11.3 -1.6 2.3Consumer Non-cyclical 5 3.3 2.1 2.1 2.3 -0.0 1.7Industrial 1 33.1 – 38.7 – 5.6 –Utilities 1 46.9 – 52.0 – 5.1 –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 63

1996 2004 20120

20

40

60

80

100

Malaysia, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

200

400

600

800

1000Malaysia 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 130 13.1 57.1 13.7 71.1 -0.0 25.9Basic Materials 65 25.9 348.3 23.6 262.9 -0.1 92.1Communications 35 10.0 141.6 10.5 77.6 0.2 93.7Consumer Cyclical 112 17.0 37.6 17.5 40.6 -0.2 16.2Consumer Non-cyclical 147 6.2 291.0 6.3 189.8 0.0 115.7Diversified 27 11.7 80.9 10.5 78.1 -0.2 33.2Energy 31 47.1 280.5 47.2 338.7 0.1 66.6Industrial 271 17.9 164.8 19.2 92.5 -0.0 115.8Technology 58 22.7 56.5 24.1 84.9 -0.1 49.8Utilities 5 14.0 7.9 15.4 6.9 0.1 4.0

2004 20120

20

40

60

80

Malta, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

5

10

15

20

Malta 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 7 11.2 13.1 5.6 16.0 1.1 6.2Communications 1 0.9 – 4.0 – 3.0 –Consumer Cyclical 4 6.8 11.4 8.8 6.0 1.3 6.6Consumer Non-cyclical 2 4.9 6.4 5.9 7.8 1.0 1.5Energy 1 29.2 – 33.2 – 4.0 –Industrial 1 0.0 – 0.1 – 0.0 –Technology 1 2.1 – 2.9 – 0.8 –

1996 2004 20120

50

100

Mexico, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

100

200Mexico 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 27 5.3 29.3 1.9 26.6 0.1 5.8Basic Materials 10 5.4 15.9 2.9 13.2 -0.6 6.4Communications 7 15.8 85.9 91.2 89.4 3.8 54.6Consumer Cyclical 21 1.8 36.6 2.6 56.0 0.6 33.7Consumer Non-cyclical 16 1.6 7.8 1.6 9.1 0.0 7.4Diversified 5 6.8 3.6 7.3 5.5 0.4 2.9Industrial 13 0.8 51.5 1.1 51.3 0.0 5.5Utilities 2 0.7 0.9 0.5 0.6 -0.1 0.2

2004 20120

20

40

Morocco, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

50

100Morocco 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 17 19.2 21.1 22.3 18.3 -0.1 6.4Basic Materials 10 50.7 46.6 41.5 30.4 -1.9 20.0Communications 1 1.0 – 0.9 – -0.1 –Consumer Cyclical 7 32.7 44.7 29.8 40.2 -2.1 7.2Consumer Non-cyclical 10 4.0 7.0 4.3 7.9 0.5 2.6Diversified 1 22.2 – 29.5 – 7.4 –Energy 1 7.1 – 5.2 – -1.9 –Industrial 11 17.5 108.8 21.9 92.3 -0.1 18.5Technology 5 9.3 56.6 11.0 15.7 -0.4 41.8Utilities 3 8.7 6.2 9.0 9.3 0.9 3.8

NUS RMI-CRI Quarterly Credit Report, Q2/2016 64

20120

20

40

60

80

Montenegro, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

5

10

15

20

Montenegro 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Communications 1 0.9 – 3.0 – 2.0 –Consumer Cyclical 2 17.2 19.8 11.9 14.3 -5.2 5.5Consumer Non-cyclical 4 22.9 2.4 36.3 7.0 14.2 7.1Energy 1 23.6 – 39.2 – 15.6 –Utilities 2 19.5 23.5 13.3 13.4 -6.2 10.1

1996 2004 20120

20

40

60

Netherlands, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 201250

100

150

200Netherlands 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 19 17.7 98.3 27.1 54.0 1.7 63.0Basic Materials 6 5.2 195.8 4.4 154.2 -0.6 43.3Communications 12 13.6 112.2 13.9 136.0 1.1 28.3Consumer Cyclical 11 5.1 20.2 5.8 11.3 0.1 12.2Consumer Non-cyclical 26 3.8 37.7 5.1 38.5 0.1 20.5Energy 7 7.5 25.9 10.8 15.4 0.3 13.3Industrial 19 15.2 185.7 16.1 157.7 0.8 28.5Technology 12 8.3 51.9 8.5 66.9 0.2 42.2

1996 2004 20120

5

10

15

20

25

30

35

40

New Zealand, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

20

40

60

80

100

120

140

160New Zealand 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 17 0.2 52.0 0.2 25.5 0.0 28.6Basic Materials 3 94.5 59.3 20.6 20.2 -70.1 41.7Communications 7 9.5 32.3 7.5 75.2 0.0 47.3Consumer Cyclical 19 1.8 63.0 1.8 77.0 -0.1 18.3Consumer Non-cyclical 33 2.2 90.2 2.1 68.4 0.0 35.8Diversified 2 178.6 250.7 129.8 180.9 -48.8 69.7Energy 4 3.9 5.7 5.1 4.8 -0.3 1.6Industrial 18 1.3 35.5 1.7 24.0 0.0 13.4Technology 13 1.6 8.1 1.7 8.2 0.0 1.7Utilities 7 1.4 18.7 0.8 0.5 -0.5 18.4

20120

50

100

Nigeria, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

100

200Nigeria 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 48 75.7 131.9 114.9 171.3 19.4 94.3Basic Materials 10 6.8 63.1 52.5 140.7 44.2 87.3Communications 5 5.8 45.8 49.8 76.2 34.2 49.2Consumer Cyclical 13 33.5 168.2 152.3 223.5 52.0 84.8Consumer Non-cyclical 32 18.7 117.1 41.9 133.3 22.3 58.2Energy 9 36.8 64.6 63.0 92.0 26.3 34.1Industrial 18 27.9 134.7 65.7 224.4 33.7 95.5Technology 3 27.3 163.5 94.7 500.4 67.4 336.9

NUS RMI-CRI Quarterly Credit Report, Q2/2016 65

1996 2004 20120

100

200

Norway, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

100

200Norway 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 38 65.8 114.0 73.4 151.0 1.1 121.2Basic Materials 5 13.4 173.0 19.4 112.2 4.7 67.5Communications 7 33.8 32.0 21.2 52.6 -0.6 24.0Consumer Cyclical 5 16.8 23.6 14.8 32.4 2.0 12.6Consumer Non-cyclical 23 12.1 71.9 11.4 80.5 -0.5 32.2Diversified 1 52.1 – 271.8 – 219.8 –Energy 28 128.4 415.5 127.1 1039.5 -9.7 835.3Industrial 48 76.1 185.8 84.8 358.0 -3.0 347.3Technology 8 34.6 81.9 24.8 50.8 -9.8 33.0Utilities 2 22.2 27.2 17.4 20.4 -4.8 6.8

20120

2

4

6

8

10

12

14

16

18

20

Oman, All firms1Y PD (LHS, bps) and # of firms (RHS)

201220

25

30

35

40

45

50

55

60

65

70 Oman 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 25 27.4 23.0 27.5 19.8 0.1 11.6Basic Materials 4 12.0 17.1 5.1 10.0 -6.9 7.8Communications 2 0.3 0.4 0.3 0.4 -0.0 0.0Consumer Cyclical 1 1.5 – 1.8 – 0.3 –Consumer Non-cyclical 8 6.5 10.6 5.5 11.3 0.0 1.4Diversified 1 0.0 – 0.0 – 0.0 –Energy 5 1.9 108.4 1.9 100.5 -0.0 7.9Industrial 12 2.3 43.4 2.4 24.4 -0.1 26.6Utilities 8 1.9 1.3 2.5 1.5 0.5 0.7

20120

100

200

Pakistan, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

200

400 Pakistan 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 37 85.4 87.2 73.7 102.1 0.2 29.4Basic Materials 21 14.2 96.2 22.1 99.0 0.1 10.2Communications 3 37.4 283.0 27.4 134.9 -10.0 148.3Consumer Cyclical 35 17.9 101.3 13.6 94.1 -0.2 19.8Consumer Non-cyclical 31 1.6 16.4 1.7 16.8 -0.0 8.4Energy 10 9.2 42.4 5.6 28.3 -2.7 17.9Industrial 28 5.6 28.8 4.9 22.1 -0.9 8.7Technology 1 5.7 – 11.2 – 5.5 –Utilities 8 30.6 99.6 28.8 55.4 -3.3 45.1

1996 2004 20120

20

40

60

80

Peru, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

20

40

60

80 Peru 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 8 22.7 12.8 23.8 11.6 0.5 7.1Basic Materials 11 19.4 33.3 20.8 25.4 -0.3 15.5Communications 1 40.3 – 28.6 – -11.6 –Consumer Cyclical 2 9.4 10.0 19.0 19.7 9.6 9.8Consumer Non-cyclical 7 17.3 28.1 25.7 22.7 0.0 10.9Diversified 2 52.6 34.9 41.8 8.1 -10.8 43.0Energy 1 76.6 – 101.0 – 24.3 –Industrial 2 24.2 17.5 32.4 10.9 8.2 6.5Utilities 5 1.4 7.4 3.0 15.1 1.5 7.7

NUS RMI-CRI Quarterly Credit Report, Q2/2016 66

1996 2004 20120

50

100

150

Philippines, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

100

200

300Philippines 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 72 15.2 34.1 11.2 33.7 -0.3 12.2Basic Materials 26 12.0 35.2 12.0 31.6 0.0 11.4Communications 16 3.5 29.2 5.7 28.4 0.0 5.4Consumer Cyclical 29 6.7 38.4 6.2 26.0 -0.1 23.8Consumer Non-cyclical 31 6.8 42.5 7.1 37.2 -0.1 11.7Diversified 15 1.3 11.3 2.0 20.0 0.5 10.1Energy 11 7.3 24.3 7.4 19.7 -0.0 6.6Industrial 10 19.1 29.3 23.5 44.3 1.4 16.2Technology 3 0.2 3.4 1.0 4.1 0.7 0.7Utilities 12 4.1 12.8 3.6 12.6 -0.3 2.8

1996 2004 20120

100

200

Poland, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000 Poland 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 80 26.1 154.1 32.3 157.0 6.2 43.6Basic Materials 27 11.8 21.1 20.0 19.5 2.5 8.2Communications 32 25.7 120.0 32.9 149.0 8.2 38.9Consumer Cyclical 55 20.6 77.9 29.0 77.2 1.7 33.3Consumer Non-cyclical 54 22.0 73.6 28.7 207.8 4.1 198.0Energy 12 53.6 42.0 55.9 37.1 0.3 23.3Industrial 114 22.7 212.5 28.0 142.2 2.8 82.4Technology 37 16.3 137.9 15.8 101.4 -0.0 40.5Utilities 10 27.0 265.2 37.6 300.8 4.3 47.5

1996 2004 20120

20

40

60

80

Portugal, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

20

40

60

80Portugal 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 3 83.9 36.3 67.1 89.3 2.9 66.8Basic Materials 6 9.2 30.0 15.7 34.0 4.6 5.1Communications 5 13.9 30.8 24.2 42.4 8.3 14.9Consumer Cyclical 5 62.4 65.5 107.0 117.6 -1.9 69.8Consumer Non-cyclical 6 23.2 106.5 23.5 79.4 0.9 32.0Diversified 2 79.1 102.0 63.4 73.2 -15.7 28.8Energy 1 6.4 – 4.5 – -1.9 –Industrial 8 63.3 228.2 69.2 386.1 4.5 160.3Technology 2 15.0 8.2 17.1 14.1 2.1 5.9Utilities 2 6.2 2.1 7.9 3.2 1.8 1.1

2004 20120

20

40

60

80

100

120

140

160

Romania, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

10

20

30

40

50

60

70

80Romania 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 5 23.6 23.1 20.9 33.9 3.1 18.6Basic Materials 6 42.5 30.2 58.6 26.4 5.1 15.9Communications 1 16.0 – 26.9 – 10.9 –Consumer Cyclical 7 18.4 13.0 25.1 16.5 2.1 5.3Consumer Non-cyclical 10 12.8 19.5 8.1 32.1 1.5 24.6Energy 7 12.6 245.2 13.6 313.3 4.7 68.2Industrial 21 64.2 45.8 81.9 58.2 16.1 37.6Utilities 4 3.3 2.4 3.1 2.7 0.0 0.9

NUS RMI-CRI Quarterly Credit Report, Q2/2016 67

2004 20120

500

1000

1500

Russia, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

100

200

300Russia 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 17 93.1 131.9 82.6 51.4 -1.6 121.9Basic Materials 34 22.1 45.0 20.6 43.0 -0.4 26.0Communications 11 23.7 60.3 30.9 33.1 -10.8 30.2Consumer Cyclical 16 90.5 48.9 56.1 57.1 -4.9 41.1Consumer Non-cyclical 25 41.4 46.1 28.4 41.6 -1.1 45.4Diversified 2 69.7 35.3 83.4 63.3 13.7 28.0Energy 19 36.7 95.2 24.5 188.0 -4.7 109.2Industrial 18 48.6 74.4 45.2 35.1 0.4 60.0Technology 2 47.1 17.2 61.7 9.1 14.6 26.3Utilities 49 78.5 50.7 81.2 47.6 -11.4 37.2

2004 20120

50

Saudi Arabia, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

200 Saudi Arabia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 60 2.1 11.7 1.6 12.2 0.0 4.6Basic Materials 19 29.5 51.8 20.0 24.6 -1.5 32.5Communications 7 29.1 13.7 37.3 19.2 7.6 7.4Consumer Cyclical 18 2.9 10.3 3.5 10.5 0.2 1.2Consumer Non-cyclical 24 4.4 8.3 3.9 8.4 0.1 3.2Diversified 3 30.3 40.1 21.9 8.3 -8.4 32.1Energy 2 9.6 4.9 11.6 0.3 2.0 4.5Industrial 34 4.2 16.6 4.5 22.6 0.1 13.4Utilities 1 28.6 – 21.1 – -7.5 –

201220

40

60

80

Serbia, All firms1Y PD (LHS, bps) and # of firms (RHS)

201220

40

60

80

Serbia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 5 55.2 14.3 50.2 11.6 -4.6 7.9Basic Materials 3 17.2 12.2 18.1 12.5 4.8 2.4Consumer Cyclical 3 5.1 86.8 6.6 70.2 -0.4 16.7Consumer Non-cyclical 9 29.1 14.1 33.2 24.2 2.2 24.2Diversified 1 20.6 – 10.3 – -10.4 –Energy 1 8.7 – 4.8 – -3.9 –Industrial 8 64.9 86.7 27.1 59.6 -11.5 36.6

1996 2004 20120

100

200

300

Singapore, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

200

400

600Singapore 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 106 2.9 124.9 3.0 98.1 0.0 83.4Basic Materials 30 18.5 122.9 20.1 90.4 0.3 77.3Communications 21 15.7 138.7 16.0 190.2 -0.1 85.2Consumer Cyclical 73 12.5 50.6 16.1 64.4 0.7 32.5Consumer Non-cyclical 77 13.8 97.7 13.1 208.6 0.0 154.1Diversified 14 17.1 44.6 14.4 74.0 0.0 38.0Energy 30 76.4 229.2 79.4 248.0 0.9 74.1Industrial 169 27.1 188.9 25.0 173.6 0.0 52.9Technology 22 7.9 153.5 9.0 116.5 -0.2 62.4Utilities 3 67.2 123.5 68.7 48.2 0.3 84.4

NUS RMI-CRI Quarterly Credit Report, Q2/2016 68

2004 20120

50

100

Slovakia, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

5

10

Slovakia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 2 26.1 11.8 34.6 14.5 8.5 2.7Basic Materials 1 15.2 – 13.0 – -2.1 –Consumer Cyclical 2 1.7 2.2 5.1 7.1 3.4 4.9Consumer Non-cyclical 1 7.3 – 12.4 – 5.1 –Energy 1 6.5 – 7.9 – 1.4 –Technology 1 9.8 – 11.4 – 1.6 –

2004 20120

20

40

60

80

Slovenia, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 201210

20

30

40

50 Slovenia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 3 8.7 26.5 8.4 37.0 2.3 10.7Basic Materials 2 12.9 3.9 10.7 0.9 -2.2 3.1Communications 1 18.0 – 21.8 – 3.8 –Consumer Cyclical 3 26.3 9.4 11.9 15.2 1.5 13.1Consumer Non-cyclical 5 9.1 37.8 9.1 10.8 -0.1 34.0Diversified 1 11.3 – 17.2 – 5.9 –Energy 1 1.5 – 1.7 – 0.2 –Industrial 2 63.3 48.7 25.5 16.5 -37.8 32.2Technology 1 32.2 – 10.2 – -22.0 –

1996 2004 20120

10

20

30

40

50

South Africa, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

100

200

300

400

500 South Africa 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 72 30.5 104.3 23.7 102.4 -0.0 41.2Basic Materials 36 32.3 168.7 30.1 131.1 -0.8 109.6Communications 13 6.7 53.3 9.0 58.8 -0.2 25.7Consumer Cyclical 32 6.2 16.6 9.2 23.7 -0.1 16.4Consumer Non-cyclical 36 6.3 68.5 8.3 81.7 0.3 38.4Diversified 7 49.7 78.9 55.7 39.7 0.2 44.1Energy 8 44.2 75.4 43.8 202.4 3.6 156.8Industrial 44 37.8 180.6 43.4 215.8 1.1 78.0Technology 9 4.4 24.0 7.8 37.8 0.8 14.0

1996 2004 20120

200

400

600

800

South Korea, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000

1500

2000South Korea 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 93 23.4 53.2 25.1 66.1 0.1 29.6Basic Materials 181 9.3 67.0 9.5 16.4 -0.0 62.3Communications 188 5.6 16.7 5.3 20.9 -0.1 10.3Consumer Cyclical 277 12.7 28.8 10.1 32.9 -0.5 19.3Consumer Non-cyclical 277 7.2 17.1 5.6 19.1 -0.8 11.0Diversified 42 0.0 9.6 0.0 12.0 0.0 4.0Energy 12 11.5 105.6 13.8 34.9 2.0 74.1Industrial 493 9.1 73.4 10.3 33.5 0.1 63.7Technology 229 6.8 29.9 7.1 33.1 -0.0 25.0Utilities 17 16.9 20.5 15.5 15.5 -1.0 8.9

NUS RMI-CRI Quarterly Credit Report, Q2/2016 69

1996 2004 20120

20

40

60

80

100

Spain, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 201260

80

100

120

140

160 Spain 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 29 26.3 30.9 34.5 218.5 3.6 218.3Basic Materials 8 8.2 15.3 9.4 15.0 0.3 7.7Communications 13 10.5 23.7 11.8 23.6 -0.2 9.8Consumer Cyclical 10 14.6 66.6 9.7 12.6 -0.5 65.1Consumer Non-cyclical 28 7.8 18.3 7.9 24.1 0.2 7.2Energy 3 20.9 12.0 13.1 3.2 -7.8 8.8Industrial 30 14.2 23.8 14.8 33.7 0.6 17.7Technology 3 1.1 7.4 1.1 9.0 -0.0 1.6Utilities 8 4.7 77.1 3.9 61.9 -0.1 15.3

2004 20120

50

100

Sri Lanka, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

200

400Sri Lanka 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 84 58.0 81.2 53.7 80.9 -0.2 22.7Basic Materials 14 19.3 42.9 21.1 41.0 -0.2 9.6Communications 4 6.2 5.1 6.5 7.4 0.9 2.5Consumer Cyclical 61 12.8 51.7 13.3 40.0 -0.5 24.2Consumer Non-cyclical 53 21.5 66.6 20.2 67.6 -0.3 21.5Diversified 14 24.8 113.0 17.5 34.9 -0.3 92.5Energy 3 3.8 3.2 2.4 3.2 0.0 0.8Industrial 24 10.9 97.5 9.8 68.5 -1.0 33.2Technology 2 13.7 3.9 13.6 3.7 -0.1 0.2Utilities 5 13.9 27.0 10.8 22.3 0.0 5.9

1996 2004 20120

50

100

Sweden, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000Sweden 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 69 8.7 35.6 10.2 31.4 0.0 10.6Basic Materials 27 24.0 22.5 21.4 26.6 1.3 26.7Communications 50 12.4 37.5 14.4 48.2 0.7 31.7Consumer Cyclical 60 8.2 31.5 8.3 31.9 0.7 22.3Consumer Non-cyclical 145 11.4 31.8 12.5 50.4 0.6 36.2Diversified 7 20.3 62.0 22.0 76.4 -0.1 16.9Energy 13 13.0 49.2 15.0 50.0 -0.6 13.1Industrial 105 10.6 86.6 10.4 50.5 0.0 73.4Technology 41 10.4 24.3 12.8 31.7 -0.1 17.6Utilities 2 7.3 3.1 8.2 4.8 0.9 1.7

1996 2004 20120

20

40

Switzerland, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

200

400Switzerland 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 68 8.7 416.3 12.0 554.4 0.7 142.9Basic Materials 15 5.5 142.3 4.8 153.1 0.1 40.7Communications 10 4.8 15.2 5.9 11.4 0.7 5.4Consumer Cyclical 19 6.7 49.0 6.9 37.9 0.5 14.0Consumer Non-cyclical 37 2.8 35.5 2.8 30.6 0.0 5.9Diversified 5 33.8 26.2 45.3 117.5 8.0 106.0Energy 5 103.6 83.0 86.6 90.2 -10.4 71.5Industrial 61 4.5 102.1 5.2 70.3 0.2 33.7Technology 10 11.1 23.4 9.1 16.9 -1.3 9.4Utilities 5 7.3 16.0 6.6 16.0 -0.4 1.0

NUS RMI-CRI Quarterly Credit Report, Q2/2016 70

1996 2004 20120

50

100

Taiwan, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000Taiwan 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 79 4.2 22.0 4.6 8.7 0.0 17.8Basic Materials 77 1.1 6.2 1.1 6.5 0.0 1.7Communications 42 1.7 4.8 2.3 6.9 0.0 4.2Consumer Cyclical 146 1.5 12.5 1.3 11.7 0.0 3.6Consumer Non-cyclical 59 0.6 3.0 0.4 2.7 0.0 1.5Diversified 1 0.0 – 0.0 – 0.0 –Energy 7 5.0 3.8 5.1 3.1 -0.0 2.0Industrial 308 2.0 16.9 1.7 24.2 -0.1 9.4Technology 149 1.7 7.4 1.5 7.2 -0.1 3.7Utilities 5 0.0 0.4 0.0 0.3 -0.0 0.2

1996 2004 20120

500

Thailand, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

1000Thailand 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 99 6.2 22.3 8.0 20.6 -0.0 12.5Basic Materials 55 6.5 46.9 5.7 30.6 -0.6 21.6Communications 40 5.5 14.4 4.2 22.9 -0.0 13.1Consumer Cyclical 125 4.0 21.7 3.7 18.6 -0.2 15.3Consumer Non-cyclical 83 1.1 12.0 0.9 11.7 -0.0 5.1Diversified 5 1.2 0.4 1.0 1.3 -0.0 1.0Energy 17 15.5 45.8 8.7 40.5 -1.4 20.5Industrial 113 6.2 35.8 4.3 22.7 -0.1 19.3Technology 11 12.5 37.7 7.3 51.4 -1.3 24.9Utilities 13 3.1 5.8 2.2 4.5 -0.1 3.1

2004 20120

10

20

30

40

Tunisia, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

20

40

60

80 Tunisia 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 24 24.8 46.2 29.4 57.4 3.2 16.5Basic Materials 4 3.6 2.8 7.7 8.2 4.4 5.4Communications 5 46.6 31.9 31.9 29.2 0.1 11.4Consumer Cyclical 10 0.6 44.7 0.7 38.1 0.1 6.9Consumer Non-cyclical 9 9.5 41.8 12.3 47.8 0.1 15.5Diversified 1 5.1 – 5.5 – 0.4 –Energy 1 0.1 – 0.1 – 0.0 –Industrial 12 15.0 59.4 22.3 72.5 0.4 28.1Technology 1 23.1 – 53.5 – 30.4 –

2004 20120

50

100

Turkey, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 2012200

400

600Turkey 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 99 34.1 60.0 35.9 60.1 0.3 21.8Basic Materials 37 19.2 51.9 23.1 45.9 2.6 18.1Communications 14 24.1 50.9 34.3 60.5 1.8 22.8Consumer Cyclical 93 31.4 84.3 38.9 72.8 1.1 26.3Consumer Non-cyclical 59 27.1 90.3 29.8 84.3 2.2 42.1Diversified 11 51.6 37.0 59.9 48.0 -0.2 20.9Energy 5 72.1 81.9 76.7 72.5 4.5 25.3Industrial 72 17.2 52.8 20.8 48.5 0.7 30.1Technology 4 14.1 10.4 19.5 14.1 3.8 5.0Utilities 8 23.6 34.0 29.1 25.9 1.6 25.8

NUS RMI-CRI Quarterly Credit Report, Q2/2016 71

2004 20120

100

200

300

400

Ukraine, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

20

40

60

80

Ukraine 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Basic Materials 2 830.3 62.8 488.1 24.2 -342.3 38.6Consumer Non-cyclical 8 85.8 89.7 90.9 108.7 -0.7 42.1Diversified 1 34.0 – 20.0 – -14.0 –Energy 2 273.6 28.4 268.7 21.2 -5.0 49.6Industrial 2 37.8 36.5 17.9 21.1 -19.8 15.4Utilities 1 78.3 – 22.7 – -55.6 –

2004 20120

100

200

United Arab Emirates, All firms1Y PD (LHS, bps) and # of firms (RHS)

2004 20120

50

100

United Arab Emirates 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 44 25.8 26.5 24.1 24.3 0.1 9.2Communications 3 1.0 4.3 0.6 9.4 0.0 5.0Consumer Cyclical 5 5.9 5.2 4.9 10.0 -0.3 7.1Consumer Non-cyclical 11 10.1 28.7 10.7 50.5 0.4 24.4Energy 3 41.8 36.7 61.4 57.8 19.6 21.3Industrial 18 13.6 131.3 16.5 90.7 0.8 43.8Utilities 1 210.4 – 228.6 – 18.3 –

1996 2004 20120

20

40

60

80

United Kingdom, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

500

1000

1500

2000United Kingdom 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 199 13.0 125.4 18.9 108.6 3.6 120.8Basic Materials 91 48.1 123.3 33.9 75.6 -1.3 106.4Communications 96 20.2 292.9 24.3 317.6 3.1 81.2Consumer Cyclical 147 10.3 106.8 19.6 208.8 4.9 123.9Consumer Non-cyclical 227 13.6 66.7 17.3 127.4 1.4 86.1Diversified 5 7.8 98.0 11.5 79.1 1.1 19.5Energy 87 62.6 242.4 53.8 117.8 -7.1 167.2Industrial 172 16.7 115.0 20.7 84.8 1.4 69.1Technology 92 14.4 103.4 16.5 79.3 0.5 67.2Utilities 12 5.9 65.0 5.5 76.1 0.1 12.4

1996 2004 20120

20

40

60

80

United States, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20123000

4000

5000

6000

7000United States 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 913 7.7 101.6 7.9 157.9 0.0 96.6Basic Materials 131 7.3 183.7 6.7 113.8 -0.2 119.8Communications 288 11.2 381.5 9.2 200.3 -0.1 273.8Consumer Cyclical 459 4.9 183.5 6.4 139.5 0.3 116.1Consumer Non-cyclical 894 11.5 289.4 11.4 362.3 0.0 341.3Diversified 8 74.6 145.2 40.6 48.8 -27.0 98.7Energy 279 54.2 667.2 36.5 436.2 -6.9 471.8Industrial 480 4.5 173.4 5.6 213.0 0.0 123.8Technology 333 3.5 80.0 4.4 136.2 0.0 123.1Utilities 88 0.5 54.4 0.6 40.5 -0.1 19.7

NUS RMI-CRI Quarterly Credit Report, Q2/2016 72

1996 2004 20120

50

100

150

Venezuela, All firms1Y PD (LHS, bps) and # of firms (RHS)

1996 2004 20120

10

20

30

Venezuela 2016Q1 2016Q2 Q2-Q1# Median St.Dev. Median St.Dev. Median St.Dev.

Financials 6 11.3 3.1 22.9 10.6 12.8 8.8Industrial 2 13.7 12.7 23.6 30.4 9.9 17.7

20120

50

100

Vietnam, All firms1Y PD (LHS, bps) and # of firms (RHS)

20120

500

1000Vietnam 2016Q1 2016Q2 Q2-Q1

# Median St.Dev. Median St.Dev. Median St.Dev.Financials 78 18.6 58.1 23.4 65.4 2.0 19.7Basic Materials 57 25.2 70.9 23.7 185.8 0.1 122.5Communications 18 18.0 54.9 22.3 42.4 -0.6 16.3Consumer Cyclical 53 25.7 39.4 24.8 43.1 -0.2 30.1Consumer Non-cyclical 88 14.6 67.7 13.8 61.9 -0.0 29.4Diversified 17 7.2 33.7 12.2 36.3 0.0 17.2Energy 21 56.7 151.3 72.9 110.0 0.9 80.3Industrial 233 37.4 67.2 33.7 71.0 0.3 26.5Technology 6 11.1 52.3 22.0 71.1 12.9 20.4Utilities 18 4.1 20.9 6.1 18.6 0.6 8.8

NUS RMI-CRI Quarterly Credit Report, Q2/2016 73

B PD by regionsAsia Pacific - developed economies

1995 2000 2005 2010

0

0.5

1PDiR distribution: Non−financials

1995 2000 2005 2010

0

0.5

1PDiR distribution: Financials

2000 20100

200

400× 10

4All

0

0.5

1

2000 20100

200

400× 10

4Non−financials

0

0.5

1

2000 20100

50

100× 10

3Financials

0

1

2

2000 20100

200

400

600× 10

3Basic Materials

0

0.75

1.5

2000 20100

50

100× 10

3Communications

0

0.5

1

2000 20100

50

100× 10

3Consumer Cyclical

0

1

2

2000 20100

510

152025

303540

× 103Consumer Non−cyclical

0

0.8

1.6

2000 20100

50

100

150× 10

2Diversified

0

0.75

1.5

2000 20100

50

100× 10

2Energy

0

2

4

2000 20100

10

20

30

40

50

60× 10

3Industrial

0

1.5

3

2000 20100

100

200× 10

3Technology

0

0.5

1

2000 20100

20

40× 10

2Utilities

0

0.5

1

Asia Pacific - emerging economies

1995 2000 2005 2010

0

0.5

1PDiR distribution: Non−financials

1995 2000 2005 2010

0

0.5

1PDiR distribution: Financials

2000 20100

100

200× 10

4All

0

0.5

1

2000 20100

100

200× 10

4Non−financials

0

0.5

1

2000 20100

100

200× 10

3Financials

0

1

2

2000 20100

50

100

150× 10

3Basic Materials

0

0.75

1.5

2000 20100

50

100

150× 10

2Communications

0

3

6

2000 20100

100

200× 10

3Consumer Cyclical

0

1

2

2000 20100

50

100× 10

3Consumer Non−cyclical

0

1

2

2000 20100

50

100

150× 10

2Diversified

0

0.75

1.5

2000 20100

50

100

150× 10

2Energy

0

1.5

3

2000 20100

50

100

150× 10

3Industrial

0

1.5

3

2000 20100

50

100

150× 10

2Technology

0

3

6

2000 20100

100

200× 10

2Utilities

0

1

2

NUS RMI-CRI Quarterly Credit Report, Q2/2016 74

North America

1995 2000 2005 2010

0

0.5

1PDiR distribution: Non−financials

1995 2000 2005 2010

0

0.5

1PDiR distribution: Financials

2000 20100

50

100× 10

4All

0

0.5

1

2000 20100

10

20

30

40

50

60× 10

3Non−financials

4

8

2000 20100

100

200

300× 10

3Financials

0

0.75

1.5

2000 20100

50

100× 10

3Basic Materials

0

0.5

1

2000 20100

200

400× 10

3Communications

0

0.5

1

2000 20100

50

100× 10

3Consumer Cyclical

0

1

1.5

2000 20100

20

40

60× 10

3Consumer Non−cyclical

1

2

2000 20100

200

400× 10

2Diversified

0

0.5

1

2000 20100

50

100

150× 10

2Energy

0

3

6

2000 20100

50

100× 10

3Industrial

0

1

1.5

2000 20100

50

100× 10

3Technology

0

0.5

1

2000 20100

20

40× 10

2Utilities

0

1.5

2

Western Europe

1995 2000 2005 2010

0

0.5

1PDiR distribution: Non−financials

1995 2000 2005 2010

0

0.5

1PDiR distribution: Financials

2000 20100

10

20

30

40

50

60× 10

3All

0

3

6

2000 20100

10

20

30

40

50

60× 10

3Non−financials

0

3

6

2000 20100

50

100× 10

3Financials

0

1

2

2000 20100

50

100× 10

2Basic Materials

0

2

4

2000 20100

50

100× 10

3Communications

0

0.5

1

2000 20100

20

40

60

80

100× 10

3Consumer Cyclical

0

0.5

1

2000 20100

20

40× 10

3Consumer Non−cyclical

0

0.5

1

2000 20100

50

100× 10

2Diversified

0

0.5

1

2000 20100

50

100× 10

2Energy

0

2

4

2000 20100

20

40

60× 10

3Industrial

0

0.75

1.5

2000 20100

50

100× 10

3Technology

0

0.5

1

2000 20100

10

20

30× 10

2Utilities

0

0.75

1.5

NUS RMI-CRI Quarterly Credit Report, Q2/2016 75

Eastern Europe

1995 2000 2005 2010

0

0.5

1PDiR distribution: Non−financials

1995 2000 2005 2010

0

0.5

1PDiR distribution: Financials

2000 20100

100

200× 10

3All

0

1

2

2000 20100

50

100

150× 10

3Non−financials

0

0.75

1.5

2000 20100

100

200× 10

2Financials

0

2

4

2000 20100

50

100

150× 10

2Basic Materials

0

0.75

1.5

2000 20100

50

100

150× 10

2Communications

0

0.75

1.5

2000 20100

50

100

150× 10

2Consumer Cyclical

0

1.5

3

2000 20100

50

100× 10

2Consumer Non−cyclical

0

2

4

2000 20100

50

100

150

200Diversified

0

20

40

2000 20100

20

40

60

80

100× 10

2Energy

0

0.5

1

2000 20100

2040

6080

100

120140160

× 102Industrial

0

2

4

2000 20100

100

200× 10

2Technology

0

0.5

1

2000 20100

50

100

150× 10

2Utilities

0

0.75

1.5

Africa ME

1995 2000 2005 2010

0

0.5

1PDiR distribution: Non−financials

1995 2000 2005 2010

0

0.5

1PDiR distribution: Financials

2000 20100

50

100× 10

3All

0

1

2

2000 20100

20

40

60× 10

3Non−financials

0

0.75

1.5

2000 20100

50

100× 10

3Financials

0

0.5

1

2000 20100

100

200× 10

2Basic Materials

0

1

2

2000 20100

100

200× 10

2Communications

0

0.5

1

2000 20100

10

20

30

40

50

60× 10

2Consumer Cyclical

0

1.5

3

2000 20100

50

100× 10

2Consumer Non−cyclical

0

2

4

2000 20100

10

20

30

40

50

60Diversified

0

30

60

2000 20100

20

40× 10

2Energy

0

0.5

1

2000 20100

50

100× 10

2Industrial

0

2

4

2000 20100

20

40

60

80

100× 10

2Technology

0

0.5

1

2000 20100

200

400Utilities

0

10

20

NUS RMI-CRI Quarterly Credit Report, Q2/2016 76

Latin America

1995 2000 2005 2010

0

0.5

1PDiR distribution: Non−financials

1995 2000 2005 2010

0

0.5

1PDiR distribution: Financials

2000 20100

50

100× 10

3All

0

0.5

1

2000 20100

10

20

30

40

50

60× 10

2Non−financials

0

3

6

2000 20100

100

200× 10

2Financials

0

1

2

2000 20100

100

200× 10

2Basic Materials

0

0.5

1

2000 20100

10

20

30

40

50

60Communications

0

30

60

2000 20100

50

100× 10

2Consumer Cyclical

0

1

2

2000 20100

510

152025

303540

× 102Consumer Non−cyclical

0

0.8

1.6

2000 20100

50

100

150Diversified

0

15

30

2000 20100

100

200Energy

0

10

20

2000 20100

50

100× 10

2Industrial

0

0.5

1

2000 20100

200

400Technology

0

5

10

2000 20100

50

100× 10

2Utilities

0

0.5

1

NUS RMI-CRI Quarterly Credit Report, Q2/2016 77

C Macroeconomic IndicatorsDescriptions of the data contained in this section are provided in Appendix D.

1990 2000 20100

200

400

600

8001Yr. PD

Non−Fin Fin

1990 2000 20100

5000

10000

15000MERVAL

1990 2000 20100

5

10

15

20ARS/USD

1990 2000 20100

20

40

60

80

100

120

3m Interbank

1990 2000 2010−20

−10

0

10

20

GDP

1990 2000 2010−50

0

50

100

150

200

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

10000Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10FDI

1990 2000 2010−0.5

0

0.5

1Fiscal Budget

Argentina 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.78 10.93 4.08 4.37 5.521Yr. PD, Fin. 17.79 29.29 12.43 14.60 20.67MERVAL 11657 9815 11675 12992 14683ARS/USD 9.09 9.42 12.93 14.70 15.05GDP (YoY%) 3.7 3.5 2.2 0.5 –PPI (YoY%) 9.6 11.1 11.5* – –Sov. Rating, Moody’s B3 B3 B3 B3 B3Sov. Rating, S&P B- B- B- B- B-5Y CDS (bps) 5392.86* – – – 419.70Fiscal Budget (%GDP) – – -0.45 – –

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20101000

2000

3000

4000

5000

6000

7000All Ordinaries

1990 2000 20100.4

0.6

0.8

1

1.2

1.4AUD/USD

1990 2000 20100

5

10

15

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−2

0

2

4

6

30

40

50

60

70GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100

150

200Moody’s S&P 5Y CDS

1990 2000 2010−4

−2

0

2

4

6

8FDI

1990 2000 2010−6

−4

−2

0

2

4Fiscal Budget

Australia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 4.53 4.57 4.72 4.83 3.851Yr. PD, Fin. 1.04 0.91 0.82 1.30 1.00All Ordinaries 5451 5059 5345 5152 5310AUD/USD 0.77 0.70 0.73 0.77 0.753m Treas. Yield (%) 1.98 2.01 2.02 2.04 1.6910Y Treas. Yield (%) 3.01 2.61 2.88 2.49 1.983m Interbank (%) 2.13 2.16 2.33 2.27 1.94GDP (YoY%) 2.1 2.7 2.9 3.1 –OECD CLI 100.24 99.89 99.79 100.10 100.24*PMI 44.2 52.1 51.9 58.1 51.8PPI (YoY%) 1.1 0.7 -0.5 -1.1 -1.6Money Supply (YoY%) 6.7 6.2 5.9 6.2 6.0Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAA5Y CDS (bps) 32.64* 55.55 38.70 35.01 35.00FDI (%GDP) – – 2.75 – –Fiscal Budget (%GDP) – – -1.89 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 78

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000ATX

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−2

0

2

4

6

8

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

40

50

60GDP OECD CLI PMI

1990 2000 2010−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300Moody’s S&P 5Y CDS

1990 2000 2010−10

0

10

20

30FDI

1990 2000 2010−8

−6

−4

−2

0Fiscal Budget

Austria 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.49 9.05 7.96 11.22 10.881Yr. PD, Fin. 9.99 8.77 7.82 8.93 7.25ATX 2412 2229 2397 2270 2096EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.28 -0.27 -0.41 -0.53 -0.6110Y Treas. Yield (%) 1.14 0.89 0.90 0.35 0.203m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 1.1 0.7 1.1 1.3 –OECD CLI 99.89 100.15 100.23 100.23 100.28*PMI 51.2 52.5 50.6 52.8 54.5PPI (YoY%) -1.7 -2.5 -2.6 -4.0 -3.5*Money Supply (YoY%) 4.6 4.5 4.6 5.0 4.9Sov. Rating, Moody’s Aa1 Aa1 Aa1 Aa1 Aa1Sov. Rating, S&P AA+ AA+ AA+ AA+ AA+5Y CDS (bps) 29.9 26.5 22.2 29.4 31.0FDI (%GDP) – – 1.54 – –Fiscal Budget (%GDP) – – -1.20 – –

1990 2000 20100

10

20

30

40

50

601Yr. PD

Non−Fin Fin

1990 2000 20101000

1500

2000

2500

3000Bourse

1990 2000 20100.372

0.374

0.376

0.378

0.38USD/BHD

1990 2000 20101

2

3

4

5

6

3m Interbank

1990 2000 20100

2

4

6

8

10

GDP

1990 2000 2010−20

−10

0

10

20

30

40

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 2010−10

0

10

20

30

40FDI

1990 2000 2010−20

−10

0

10

20Fiscal Budget

Bahrain 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 0.55 0.25 0.60 0.78 0.681Yr. PD, Fin. 28.27 32.53 34.58 41.20 40.16Bourse 1368 1276 1216 1131 1118USD/BHD 0.38 0.38 0.38 0.38 0.383m Interbank (%) 1.22 1.37 1.63 1.76 1.80GDP (YoY%) – – 3.15 – –Money Supply (YoY%) 3.94 – – – –Sov. Rating, Moody’s Ba2 Ba2 Ba2 Ba2 Ba2Sov. Rating, S&P BB BB BB BB BBFDI (%GDP) – – -4.54 – –Fiscal Budget (%GDP) – – -3.25 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 79

1990 2000 20100

10

20

30

401Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2

2.5x 10

4 Dhaka

1990 2000 201030

40

50

60

70

80

90USD/BDT

1990 2000 20100

2

4

6

8

10

12

3m Treas.

1990 2000 20100

2

4

6

8

10

GDP

1990 2000 201012

14

16

18

20

22

24

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

0.5

1

1.5

2FDI

Bangladesh 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 9.30 8.93 10.89 11.41 7.311Yr. PD, Fin. 26.81 22.56 29.11 29.81 21.98Dhaka 14097 14845 14090 13407 13803USD/BDT 77.81 77.72 78.45 78.41 78.333m Treas. Yield (%) 5.40 5.39 3.00 2.83 4.75GDP (YoY%) – – 6.5 – –Money Supply (YoY%) 12.4 13.3 13.1 13.6 14.0*Sov. Rating, Moody’s Ba3 Ba3 Ba3 Ba3 Ba3Sov. Rating, S&P BB- BB- BB- BB- BB-FDI (%GDP) – – 1.73 – –

1990 2000 20100

10

20

30

40

501Yr. PD

Non−Fin Fin

1990 2000 20100

1

2

3

4

5x 10

4 BAS NR

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−2

0

2

4

6

8

10

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

45

50

55GDP OECD CLI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500Moody’s S&P 5Y CDS

1990 2000 2010−20

0

20

40

60

80

100FDI

1990 2000 2010−10

−8

−6

−4

−2

0

2Fiscal Budget

Belgium 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 4.51 6.05 4.62 5.17 5.831Yr. PD, Fin. 2.62 2.76 2.52 3.32 2.17BAS NR 41807.3 38414.7 42529.7 39614.7 41164.2EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.20 -0.25 -0.43 -0.43 -0.6510Y Treas. Yield (%) 1.22 0.91 0.97 0.51 0.233m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 1.5 1.3 1.5 1.5 –OECD CLI 100.39 100.34 100.34 100.25 100.27*PPI (YoY%) -3.8 -5.3 -4.0 -6.5 -5.4*Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Aa3 Aa3 Aa3 Aa3 Aa3Sov. Rating, S&P AA AA AA AA AA5Y CDS (bps) 43.18 39.05 32.50 45.57 49.22*FDI (%GDP) – – -4.56 – –Fiscal Budget (%GDP) – – -2.60 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 80

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 2010600

700

800

900

1000

1100

1200Sarajevo

1990 2000 20101

1.5

2

2.5BAM/USD

1990 2000 20100

5

10

15

GDP

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 2010−5

0

5

10

15FDI

Bosnia and Herzegovina 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 7.97 7.81 10.84 21.18 17.391Yr. PD, Fin. 39.88 49.82 54.03 17.36 25.58Sarajevo 817 799 792 741 652BAM/USD 1.75 1.74 1.79 1.72 1.76Sov. Rating, Moody’s B3 B3 B3 B3 B3Sov. Rating, S&P B B B B BFDI (%GDP) – – 1.67 – –

1990 2000 20100

50

100

150

200

2501Yr. PD

Non−Fin Fin

1990 2000 20100

2

4

6

8x 10

4 IBOV

1990 2000 20100

1

2

3

4

5BRL/USD

1990 2000 20106

8

10

12

14

16

18

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−5

0

5

10

40

45

50

55GDP OECD CLI PMI

1990 2000 2010−20

0

20

40

60

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

1000

2000

3000

4000Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4

5

6FDI

1990 2000 2010−10

−8

−6

−4

−2

0Fiscal Budget

Brazil 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 33.49 45.73 49.00 43.32 38.951Yr. PD, Fin. 63.86 88.86 84.76 76.89 68.85IBOV 53081 45059 43350 50055 51527BRL/USD 3.10 3.95 3.96 3.59 3.213m Treas. Yield (%) 13.98 14.47 14.89 13.99 14.1410Y Treas. Yield (%) 12.62 15.40 16.51 13.97 12.073m Interbank (%) 14.02 14.62 14.73 14.12 14.13GDP (YoY%) – – -3.8 – –OECD CLI 97.52 97.51 97.60 98.35 98.79*PMI 46.5 47.0 45.6 46.0 43.2PPI (YoY%) 4.3 8.1 11.2 13.0 14.6Money Supply (YoY%) 6.5 4.6 6.3 5.6 4.9Sov. Rating, Moody’s Ba2 Ba2 Ba2 Ba2 Ba2Sov. Rating, S&P BB BB BB BB BB5Y CDS (bps) 259.90 476.43 494.95 365.74 316.92FDI (%GDP) – – 4.23 – –Fiscal Budget (%GDP) – – -8.24 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 81

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000SOFIX

1990 2000 20100

0.5

1

1.5

2

2.5

3USD/BGL

1990 2000 2010−2

0

2

4

6

8

3m Interbank

1990 2000 2010−10

−5

0

5

10

GDP

1990 2000 2010−20

0

20

40

60

80

100

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 20100

10

20

30

40FDI

1990 2000 2010−6

−4

−2

0

2Fiscal Budget

Bulgaria 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 23.15 23.77 18.95 19.61 18.951Yr. PD, Fin. 21.05 32.59 27.08 27.30 22.72SOFIX 485.3 442.3 460.9 446.4 455.6USD/BGL 1.75 1.74 1.79 1.72 1.753m Interbank (%) 0.34 0.33 0.26 -0.02 -0.04GDP (YoY%) – – 3.0 – –PPI (YoY%) -0.3 -2.1 -3.2 -4.1 -4.5*Money Supply (YoY%) 2.5 2.1 8.8 6.0 8.9Sov. Rating, Moody’s Baa2 Baa2 Baa2 Baa2 Baa2Sov. Rating, S&P BB+ BB+ BB+ BB+ BB+5Y CDS (bps) 182.30 179.52 171.99 161.42 162.71FDI (%GDP) – – 3.62 – –Fiscal Budget (%GDP) – – -2.10 – –

1990 2000 20100

500

1000

1500

20001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2x 10

4 S&P/TSX Composite

1990 2000 20100.8

1

1.2

1.4

1.6

1.8USD/CAD

1990 2000 20100

2

4

6

8

10

12

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

0

50

100GDP OECD CLI PMI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

2

4

6

8

10FDI

1990 2000 2010−6

−4

−2

0

2Fiscal Budget

Canada 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 16.46 22.71 23.29 19.50 14.231Yr. PD, Fin. 3.88 4.62 6.18 5.34 5.03S&P/TSX Composite 14553 13307 13010 13494 14065USD/CAD 1.25 1.33 1.38 1.30 1.293m Treas. Yield (%) 0.58 0.44 0.51 0.45 0.4910Y Treas. Yield (%) 1.68 1.43 1.39 1.23 1.063m Interbank (%) 0.99 0.79 0.87 0.90 0.88GDP (YoY%) 1.0 1.0 0.3 1.1 –OECD CLI 99.77 99.54 99.36 99.40 99.48*PMI 59.5 63.3 42.5 57.9 54.7PPI (YoY%) -0.8 -0.5 1.0 -2.0 -1.1*Money Supply (YoY%) 7.6 9.0 9.1 8.1 8.7*Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAAFDI (%GDP) – – 4.07 – –Fiscal Budget (%GDP) – – 0.10 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 82

1990 2000 20100

10

20

30

40

501Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000IPSA

1990 2000 2010200

300

400

500

600

700

800CLP/USD

1990 2000 20100

2

4

6

8

10

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−5

0

5

10

40

45

50

55GDP OECD CLI

1990 2000 2010−10

0

10

20

30

40

50

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300

400Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10

12FDI

1990 2000 2010−1

0

1

2

3

4

5Fiscal Budget

Chile 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 3.83 6.45 7.06 7.85 7.881Yr. PD, Fin. 13.29 14.77 15.42 16.77 14.03IPSA 3897 3685 3680 3937 3996CLP/USD 639.12 696.38 708.60 667.70 663.243m Treas. Yield (%) 3.02 3.56 3.95 3.81 3.7310Y Treas. Yield (%) 4.65 4.61 4.63 4.44 4.553m Interbank (%) 3.75 3.98 4.49 4.23 4.12GDP (YoY%) – – 2.1 2.1 –OECD CLI 99.75 99.19 99.61 100.01 99.96*Money Supply (YoY%) 10.9 11.4 9.8 12.5 11.0Sov. Rating, Moody’s Aa3 Aa3 Aa3 Aa3 Aa3Sov. Rating, S&P AA- AA- AA- AA- AA-5Y CDS (bps) 86.89 145.03 128.65 95.00 94.50FDI (%GDP) – – 8.52 – –

1990 2000 20100

100

200

300

4001Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000

6000SSE Composite

1990 2000 20104

5

6

7

8

9USD/CNY

1990 2000 20101

2

3

4

5

6

7

3m Treas. 10Y Treas. 3m Interbank

1990 2000 20100

10

20

20

40

60GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8FDI

1990 2000 2010−4

−3

−2

−1

0

1Fiscal Budget

China 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 66.86 102.74 85.93 109.51 104.331Yr. PD, Fin. 38.08 66.72 53.19 66.63 67.39SSE Composite 4277.2 3052.8 3539.2 3003.9 2929.6USD/CNY 6.2 6.4 6.5 6.5 6.63m Treas. Yield (%) 2.12 2.12 2.12 2.12 2.6510Y Treas. Yield (%) 3.62 3.27 2.86 2.89 2.863m Interbank (%) 3.23 3.15 3.09 2.82 2.97GDP (YoY%) 7.0 6.9 6.8 6.7 6.7OECD CLI 99.19 98.74 98.47 98.38 98.41*PMI 50.2 49.8 49.7 50.2 50.0PPI (YoY%) -4.80 -5.90 -5.90 -4.30 -2.60Money Supply (YoY%) 11.80 13.10 13.30 13.40 11.80Sov. Rating, Moody’s Aa3 Aa3 Aa3 Aa3 Aa3Sov. Rating, S&P AA- AA- AA- AA- AA-5Y CDS (bps) 94.33 128.17 109.28 120.83 122.23FDI (%GDP) – – 2.30 – –Fiscal Budget (%GDP) – – -3.44 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 83

1990 2000 20100

50

100

150

200

250

3001Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000

6000IGBC

1990 2000 2010500

1000

1500

2000

2500

3000

3500COP/USD

1990 2000 20100

10

20

30

40

10Y Treas. 3m Interbank

1990 2000 2010−5

0

5

10

GDP

1990 2000 2010−20

0

20

40

60

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800

1000Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8FDI

1990 2000 2010−5

−4

−3

−2

−1

0Fiscal Budget

Colombia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 14.18 16.69 20.85 15.37 14.201Yr. PD, Fin. 33.04 35.31 42.43 38.74 28.64IGBC 4025 3623 3440 3979 3925COP/USD 2606.00 3087.44 3174.50 3002.20 2920.3510Y Treas. Yield (%) 7.22 8.47 8.66 8.20 7.593m Interbank (%) 4.38 4.40 3.86 6.39 6.95GDP (YoY%) – – 3.3 – –PPI (YoY%) 5.01 8.70 9.57 8.56 9.64Sov. Rating, Moody’s Baa2 Baa2 Baa2 Baa2 Baa2Sov. Rating, S&P BBB BBB BBB BBB BBB5Y CDS (bps) 169.27 249.30 244.76 215.66 205.42FDI (%GDP) – – 4.15 – –Fiscal Budget (%GDP) – – -3.09 – –

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 20101000

2000

3000

4000

5000

6000CROBEX

1990 2000 20104

5

6

7

8

9USD/HRK

1990 2000 20100

2

4

6

8

10

12

3m Interbank

1990 2000 2010−10

−5

0

5

10

GDP

1990 2000 2010−20

0

20

40

60

80

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8FDI

1990 2000 2010−6

−4

−2

0

2Fiscal Budget

Croatia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 20.93 22.67 20.74 16.32 18.481Yr. PD, Fin. 23.17 33.15 25.71 13.11 14.74CROBEX 1738 1686 1690 1670 1676USD/HRK 7 7 7 7 73m Interbank (%) 0.74 1.65 0.92 0.58 0.55GDP (YoY%) – – 1.6 – –PPI (YoY%) -2.10 -4.80 -4.00 -5.50 -5.50Money Supply (YoY%) 4.77 4.64 5.15 3.41 4.59*Sov. Rating, Moody’s Ba2 Ba2 Ba2 Ba2 Ba2Sov. Rating, S&P BB BB BB BB BB5Y CDS (bps) 273.6 290.2 298.9 270.0 253.3FDI (%GDP) – – 0.32 – –Fiscal Budget (%GDP) – – -1.28 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 84

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000

6000CYSMMAPA

1990 2000 20100

1

2

3

4EUR/USD

1990 2000 2010−2

0

2

4

6

3m Interbank

1990 2000 2010−10

−8

−6

−4

−2

0

2

4

6

8

10

70

75

80

85

90

95

100

105

110

115

120GDP PMI

1990 2000 2010−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

1000

2000Moody’s S&P 5Y CDS

1990 2000 2010−100

−50

0

50

100

150FDI

1990 2000 2010−10

−5

0

5Fiscal Budget

Cyprus 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 46.53 42.97 46.02 48.68 49.811Yr. PD, Fin. 36.26 35.62 32.26 35.09 28.39CYSMMAPA 78 75 68 68 66EUR/USD 1.12 1.12 1.09 1.14 1.113m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 1.2 2.3 2.8 2.7 –PMI 80.7 78.4 79.3 75.6 –PPI (YoY%) -1.3 -1.5 -1.9 -1.2 -0.7*Money Supply (YoY%) 4.6 4.5 4.6 5.0 4.9Sov. Rating, Moody’s B1 B1 B1 B1 B1Sov. Rating, S&P BB- BB- BB- BB- BB-FDI (%GDP) – – 27.14 – –Fiscal Budget (%GDP) – – -1.00 – –

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000PX INDEX

1990 2000 201015

20

25

30

35

40

45USD/CZK

1990 2000 2010−10

0

10

20

30

40

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−5

0

5

10

40

45

50

55GDP OECD CLI

1990 2000 20100

5

10

15

20

25

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300

400Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10

12FDI

1990 2000 2010−15

−10

−5

0Fiscal Budget

Czech Republic 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 5.63 6.46 7.36 6.84 7.511Yr. PD, Fin. 13.29 15.17 18.04 14.24 23.29PX INDEX 981.5 971.1 956.3 899.9 816.9USD/CZK 24.36 24.24 24.77 23.78 24.333m Treas. Yield (%) 0.06 -0.31 -0.60 -0.00 -0.0710Y Treas. Yield (%) 1.26 0.68 0.54 0.44 0.463m Interbank (%) 0.31 0.29 0.29 0.29 0.29GDP (YoY%) – – 4.53 – –OECD CLI 100.48 100.57 100.49 100.04 99.87*Money Supply (YoY%) 5.8 7.7 6.9 9.4* –Sov. Rating, Moody’s A1 A1 A1 A1 A1Sov. Rating, S&P AA- AA- AA- AA- AA-5Y CDS (bps) – 45.99 – – 43.34FDI (%GDP) – – 1.36 – –Fiscal Budget (%GDP) – – -0.40 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 85

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800

1000

1200OMX Copenhagen 20

1990 2000 20104

5

6

7

8

9USD/DKK

1990 2000 2010−5

0

5

10

15

20

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−8

−6

−4

−2

0

2

4

6

46

47

48

49

50

51

52

53

54GDP OECD CLI

1990 2000 2010−20

−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15

20

25FDI

1990 2000 2010−4

−2

0

2

4

6Fiscal Budget

Denmark 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 17.91 18.78 16.07 18.82 19.601Yr. PD, Fin. 34.52 34.43 39.47 49.95 63.35OMX Copenhagen 20 945 922 1014 948 958USD/DKK 6.69 6.68 6.87 6.55 6.703m Treas. Yield (%) -0.99* -0.43 -0.49 -0.48 -0.50*10Y Treas. Yield (%) 1.00 0.86 0.97 0.44 0.093m Interbank (%) -0.21 -0.05 -0.09 -0.08 -0.21GDP (YoY%) 1.9 0.5 0.1 0.3 –OECD CLI 100.74 100.57 100.05 99.45 99.34*Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAA5Y CDS (bps) 21.25 16.72 14.33 21.68 23.16FDI (%GDP) – – 0.57 – –Fiscal Budget (%GDP) – – -2.10 – –

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 2010500

1000

1500

2000EGX 100

1990 2000 20103

4

5

6

7

8

9USD/EGP

1990 2000 20105

10

15

20

3m Treas. 10Y Treas.

1990 2000 20100

1

2

3

4

5

6

7

8

40

42

44

46

48

50

52

54

56GDP PMI

1990 2000 2010−20

−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800Moody’s S&P 5Y CDS

1990 2000 2010−2

0

2

4

6

8

10FDI

Egypt 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 12.31 15.33 12.82 15.21 14.881Yr. PD, Fin. 23.63 38.69 24.93 33.87 27.02EGX 100 941.8 844.6 790.6 792.2 743.7USD/EGP 7.63 7.82 7.83 8.87 8.893m Treas. Yield (%) 11.20 11.24 11.34 13.22 13.9610Y Treas. Yield (%) – 15.20 15.50 17.30 17.30GDP (YoY%) – – 4.2 – –PMI 50.2 50.2 48.2 44.5 47.5PPI (YoY%) -2.3 -4.0 0.1 -5.6 1.6*Money Supply (YoY%) 9.1 9.4 8.4 1.6 2.0Sov. Rating, Moody’s B3 B3 B3 B3 B3Sov. Rating, S&P B- B- B- B- B-FDI (%GDP) – – 2.08 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 86

1990 2000 20100

50

100

150

200

250

3001Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800

1000OMX Tallinn Index

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 20100

5

10

15

20

3m Interbank

1990 2000 2010−20

0

20

40

50

60GDP OECD CLI

1990 2000 2010−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15

20

25FDI

1990 2000 2010−4

−2

0

2

4Fiscal Budget

Estonia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 2.65 5.00 2.84 1.48 1.381Yr. PD, Fin. 6.72 5.10 8.63 9.77 13.30OMX Tallinn Index 844.7 863.2 899.0 970.6 980.4EUR/USD 1.12 1.12 1.09 1.14 1.11GDP (YoY%) 1.6 1.0 1.0 1.8 –OECD CLI 100.21 100.48 100.77 100.66 100.62*PPI (YoY%) -1.7 -2.8 -2.3 -2.0 -1.4Money Supply (YoY%) 4.6 4.5 4.6 5.0 4.9Sov. Rating, Moody’s A1 A1 A1 A1 A1Sov. Rating, S&P AA- AA- AA- AA- AA-5Y CDS (bps) 67.66 67.53 64.81 66.32 64.12FDI (%GDP) – – -0.77 – –Fiscal Budget (%GDP) – – 0.40 – –

1990 2000 20100

100

200

300

4001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2x 10

4 OMX Helsinki

1990 2000 20100.8

1

1.2

1.4

1.6

1.8EUR/USD

1990 2000 2010−2

0

2

4

6

8

10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

40

45

50

55

60GDP OECD CLI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15FDI

1990 2000 2010−10

−5

0

5

10Fiscal Budget

Finland 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 5.09 6.26 5.84 7.40 7.041Yr. PD, Fin. 7.27 8.01 7.21 9.28 10.52OMX Helsinki 8284 7682 8596 8000 7904EUR/USD 1.12 1.12 1.09 1.14 1.1110Y Treas. Yield (%) 0.90 0.87 0.92 0.44 0.153m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 0.6 0.0 0.6 1.0 –OECD CLI 100.61 100.74 101.00 101.23 101.27*PPI (YoY%) -1.2 -3.3 -2.5 -4.1 -3.4Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Aa1 Aa1 Aa1 Aa1 Aa1Sov. Rating, S&P AA+ AA+ AA+ AA+ AA+FDI (%GDP) – – 8.14 – –Fiscal Budget (%GDP) – – -2.70 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 87

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20101000

2000

3000

4000

5000

6000

7000CAC−40

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−5

0

5

10

15

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

45

50

55GDP OECD CLI PMI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100

150

200

250Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4FDI

1990 2000 2010−8

−6

−4

−2

0Fiscal Budget

France 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 7.32 8.95 7.27 9.35 8.671Yr. PD, Fin. 7.67 7.41 6.27 7.45 6.31CAC-40 4790 4455 4637 4385 4237EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.18 -0.20 -0.45 -0.42 -0.5710Y Treas. Yield (%) 1.20 0.98 0.99 0.49 0.183m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 1.1 1.1 1.3 1.3 –OECD CLI 100.21 100.47 100.71 100.75 100.73*PMI 50.7 50.6 51.4 49.6 48.3PPI (YoY%) -1.5 -2.6 -2.7 -3.9 -3.1Money Supply (YoY%) 4.6 4.5 4.6 5.0 4.9Sov. Rating, Moody’s Aa2 Aa2 Aa2 Aa2 Aa2Sov. Rating, S&P AA AA AA AA AA5Y CDS (bps) 36.2 32.2 26.4 33.3 50.5FDI (%GDP) – – 1.77 – –Fiscal Budget (%GDP) – – -3.50 – –

1990 2000 20100

20

40

60

80

1001Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800

1000

1200CDAX Performance

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−2

0

2

4

6

8

10

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

40

45

50

55

60GDP OECD CLI PMI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15FDI

1990 2000 2010−10

−8

−6

−4

−2

0

2Fiscal Budget

Germany 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.15 8.44 7.64 8.94 9.301Yr. PD, Fin. 11.55 8.28 8.11 11.75 10.59CDAX Performance 986 886 979 915 893EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.30 -0.38 -0.54 -0.59 -0.6810Y Treas. Yield (%) 0.76 0.59 0.63 0.15 -0.133m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 1.6 1.7 1.3 1.6 –OECD CLI 100.13 100.00 99.87 99.76 99.77*PMI 51.9 52.3 53.2 50.7 54.5PPI (YoY%) -1.4 -2.1 -2.3 -3.0 -2.2Money Supply (YoY%) 4.6 4.5 4.6 5.0 4.9Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAA5Y CDS (bps) 15.99 14.44 12.87 18.69 22.27FDI (%GDP) – – 1.38 – –Fiscal Budget (%GDP) – – 0.70 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 88

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000

6000Athex Composite

1990 2000 20100.5

1

1.5

2

2.5EUR/USD

1990 2000 2010−10

0

10

20

30

40

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−15

−10

−5

0

5

10

30

35

40

45

50

55GDP OECD CLI PMI

1990 2000 2010−20

−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

5000

10000Moody’s S&P 5Y CDS

1990 2000 2010−0.5

0

0.5

1

1.5

2FDI

1990 2000 2010−20

−15

−10

−5

0Fiscal Budget

Greece 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 45.87 43.07 47.46 49.84 46.761Yr. PD, Fin. 58.76 37.42 28.31 38.61 36.32Athex Composite 798 654 631 577 542EUR/USD 1 1 1 1 13m Treas. Yield (%) 3.54 4.79 4.02 3.28 3.3810Y Treas. Yield (%) 15.42 8.28 8.29 8.59 8.293m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 0.9 -1.7 -0.9 -1.4 –OECD CLI 99.13 99.83 102.10 102.66 102.30*PMI 46.9 43.3 50.2 49.0 50.4PPI (YoY%) -4.8 -8.8 -5.7 -9.0 -8.1*Money Supply (YoY%) 4.6 4.5 4.6 5.0 4.9Sov. Rating, Moody’s Caa3 Caa3 Caa3 Caa3 Caa3Sov. Rating, S&P CCC+ CCC+ CCC+ CCC+ CCC+5Y CDS (bps) 2984.4 5124.7* – – –FDI (%GDP) – – -0.15 – –Fiscal Budget (%GDP) – – -7.20 – –

1990 2000 20100

100

200

300

400

5001Yr. PD

Non−Fin Fin

1990 2000 20100

1

2

3

4x 10

4 Hang Seng

1990 2000 20107.7

7.75

7.8

7.85USD/HKD

1990 2000 20100

5

10

15

20

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

15

44

46

48

50

52

54GDP PMI

1990 2000 2010−20

−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100

150Moody’s S&P 5Y CDS

1990 2000 20100

10

20

30

40

50

60FDI

1990 2000 2010−10

−5

0

5

10Fiscal Budget

Hong Kong 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 9.07 19.81 19.93 23.02 18.781Yr. PD, Fin. 8.09 18.06 18.95 23.55 21.94Hang Seng 26250 20846 21914 20777 20794USD/HKD 7.75 7.75 7.75 7.76 7.763m Treas. Yield (%) – – – 0.05 0.10*10Y Treas. Yield (%) 1.79 1.56 1.58 1.28 1.023m Interbank (%) 0.39 0.40 0.39 0.56 0.57GDP (YoY%) 3.1 2.3 1.9 0.8 –PMI 49.2 45.7 46.4 45.5 45.4Money Supply (YoY%) 12.4 10.1 10.4 3.6 1.4*Sov. Rating, Moody’s Aa1 Aa1 Aa1 Aa1 Aa1Sov. Rating, S&P AAA AAA AAA AAA AAAFDI (%GDP) – – 58.35 – –Fiscal Budget (%GDP) – – 1.91 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 89

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2

2.5

3x 10

4 BUX

1990 2000 201050

100

150

200

250

300

350USD/HUF

1990 2000 20100

5

10

15

10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

20

40

60GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 2010−20

0

20

40

60FDI

1990 2000 2010−10

−8

−6

−4

−2

0Fiscal Budget

Hungary 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 49.85 61.13 59.85 48.78 37.021Yr. PD, Fin. 25.50 17.54 16.42 20.89 25.41BUX 21903.1 20894.0 23920.7 26451.0 26325.6USD/HUF 281.85 279.33 288.90 275.98 284.4510Y Treas. Yield (%) 3.87 3.31 3.31 2.95 3.033m Interbank (%) 1.07 0.98 1.01 0.91 0.76GDP (YoY%) 2.7 2.4 3.2 0.9 –OECD CLI 100.26 100.24 100.15 99.59 99.32*PMI 54.9 55.8 49.9 51.7 50.9PPI (YoY%) 1.5 -1.5 -1.3 -1.6 -2.6Money Supply (YoY%) 3.99 4.13 6.06 4.89 5.27Sov. Rating, Moody’s Ba1 Ba1 Ba1 Ba1 Ba1Sov. Rating, S&P BB+ BB+ BB+ BB+ BB+5Y CDS (bps) 159.23 169.51 164.52 151.84 158.69FDI (%GDP) – – 2.31 – –Fiscal Budget (%GDP) – – -2.00 – –

1990 2000 20100

100

200

300

400

5001Yr. PD

Non−Fin Fin

1990 2000 20100

2000

4000

6000

8000OMX Iceland All Share

1990 2000 201050

100

150USD/ISK

1990 2000 20100

5

10

15

20

3m Interbank

1990 2000 2010−10

−5

0

5

10

15

GDP

1990 2000 2010−20

0

20

40

60

80

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

140

150

160

170Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15

20FDI

1990 2000 2010−15

−10

−5

0

5

10Fiscal Budget

Iceland 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 2.59 1.77 1.47 2.22 3.281Yr. PD, Fin. 11.10 8.27 4.55 3.16 8.05OMX Iceland All Share 1121 1215 1320 1321 1245USD/ISK 132.17 127.62 130.18 123.42 123.183m Interbank (%) 5.95 6.40 6.55 6.55 6.55GDP (YoY%) 6.7 2.0 3.2 4.2 –PPI (YoY%) 11.0 -2.9 -9.4 -10.7 -9.3Money Supply (YoY%) 8.81 7.36 5.57 -5.60 -6.85Sov. Rating, Moody’s Baa2 Baa2 Baa2 Baa2 Baa2Sov. Rating, S&P BBB BBB BBB BBB BBBFDI (%GDP) – – 2.33 – –Fiscal Budget (%GDP) – – 0.29 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 90

1990 2000 20100

100

200

300

4001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2

2.5

3x 10

4 SENSEX

1990 2000 201010

20

30

40

50

60

70USD/INR

1990 2000 20102

4

6

8

10

12

14

3m Treas. 10Y Treas. 3m Interbank

1990 2000 20100

5

10

15

45

50

55

60GDP OECD CLI PMI

1990 2000 2010−5

0

5

10

15

20

25

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

1

2

3

4FDI

1990 2000 2010−10

−8

−6

−4

−2

0Fiscal Budget

India 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 30.45 24.02 18.61 24.82 24.341Yr. PD, Fin. 21.99 18.32 21.50 32.83 36.60SENSEX 27781 26155 26118 25342 27000USD/INR 63.65 65.59 66.15 66.25 67.533m Treas. Yield (%) 7.64 7.04 7.15 7.13 6.6510Y Treas. Yield (%) 7.86 7.54 7.76 7.46 7.453m Interbank (%) 8.00 7.38 7.25 7.50 6.75OECD CLI 99.40 99.67 99.97 100.30 100.43*PMI 51.3 51.2 49.1 52.4 51.7Money Supply (YoY%) 10.60 11.00 11.00 10.30 10.40Sov. Rating, Moody’s Baa3 Baa3 Baa3 Baa3 Baa3Sov. Rating, S&P BBB- BBB- BBB- BBB- BBB-FDI (%GDP) – – 2.13 – –Fiscal Budget (%GDP) – – -3.53 – –

1990 2000 20100

500

1000

15001Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000

6000Jakarta Composite

1990 2000 20100

5000

10000

15000USD/IDR

1990 2000 20100

10

20

30

40

50

60

10Y Treas. 3m Interbank

1990 2000 2010−20

0

20

20

40

60GDP OECD CLI PMI

1990 2000 20100

20

40

60

80

100

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000

1500Moody’s S&P 5Y CDS

1990 2000 2010−3

−2

−1

0

1

2

3FDI

1990 2000 2010−4

−2

0

2

4Fiscal Budget

Indonesia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 13.84 22.91 28.23 25.78 19.931Yr. PD, Fin. 19.47 28.87 28.53 28.72 27.16Jakarta Composite 4911 4224 4593 4845 5017USD/IDR 13339.00 14653.00 13788.00 13239.00 13210.0010Y Treas. Yield (%) 8.33 9.60 8.74 7.67 7.453m Interbank (%) 6.98 8.21 8.86 6.73 7.23GDP (YoY%) 4.7 4.8 4.9 4.9 –OECD CLI 98.86 98.19 98.27 98.99 99.28*PMI 47.8 47.4 47.8 50.6 51.9PPI (YoY%) 9.65 10.38 8.44 11.10 11.54Money Supply (YoY%) 12.98 12.68 9.00 7.41 7.58*Sov. Rating, Moody’s Baa3 Baa3 Baa3 Baa3 Baa3Sov. Rating, S&P BB+ BB+ BB+ BB+ BB+5Y CDS (bps) 174.8 276.3 229.9 198.3 185.2FDI (%GDP) – – 1.80 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 91

1990 2000 20100

100

200

300

400

500

6001Yr. PD

Non−Fin Fin

1990 2000 20100

2000

4000

6000

8000

10000ISEQ

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−5

0

5

10

15

10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

20

45

50

55

60GDP OECD CLI PMI

1990 2000 2010−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000

1500Moody’s S&P 5Y CDS

1990 2000 2010−20

0

20

40

60FDI

1990 2000 2010−40

−30

−20

−10

0

10Fiscal Budget

Ireland 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 7.72 8.10 7.68 9.97 9.941Yr. PD, Fin. 10.29 9.11 8.46 26.15 42.27ISEQ 6165 6167 6792 6309 5642EUR/USD 1.12 1.12 1.09 1.14 1.1110Y Treas. Yield (%) 1.65 1.24 1.15 0.73 0.523m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 7.8 7.1 9.3 – –OECD CLI 101.90 101.23 100.57 100.01 99.81*PMI 54.6 53.8 54.2 54.9 53.0PPI (YoY%) -0.9 -0.6 0.0 -0.5 -0.4Money Supply (YoY%) 4.6 4.5 4.6 5.0 4.9Sov. Rating, Moody’s A3 A3 A3 A3 A3Sov. Rating, S&P A+ A+ A+ A+ A+5Y CDS (bps) 58.99 50.06 39.27 57.81 64.71*FDI (%GDP) – – 52.81 – –Fiscal Budget (%GDP) – – -2.30 – –

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500Tel Aviv 100

1990 2000 20101

2

3

4

5USD/ILS

1990 2000 20100

2

4

6

8

10

10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

20

20

40

60

80GDP OECD CLI PMI

1990 2000 2010−20

0

20

40

60

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10FDI

Israel 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.86 8.81 8.61 8.92 9.561Yr. PD, Fin. 11.97 12.02 12.39 12.27 9.80Tel Aviv 100 1418 1300 1315 1250 1211USD/ILS 3.77 3.92 3.89 3.76 3.8610Y Treas. Yield (%) 2.36 2.36 2.10 1.85 1.633m Interbank (%) 0.10 0.08 0.10 0.10 0.08GDP (YoY%) 2.2 2.7 2.2 2.0 –OECD CLI 99.92 99.69 99.58 100.00 100.16*PMI 51.0 47.5 50.7 49.0 48.8Money Supply (YoY%) 14.7 14.9 10.5 8.8 –Sov. Rating, Moody’s A1 A1 A1 A1 A1Sov. Rating, S&P A+ A+ A+ A+ A+5Y CDS (bps) 70.14 72.95 79.41 79.59 75.72*FDI (%GDP) – – 3.89 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 92

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000

2500Comit Globale

1990 2000 20100.8

1

1.2

1.4

1.6

1.8

2EUR/USD

1990 2000 2010−5

0

5

10

15

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

45

50

55

60GDP OECD CLI PMI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600Moody’s S&P 5Y CDS

1990 2000 2010−0.5

0

0.5

1

1.5

2

2.5FDI

1990 2000 2010−8

−6

−4

−2

0Fiscal Budget

Italy 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 10.63 10.89 9.37 12.98 14.901Yr. PD, Fin. 19.10 22.81 18.43 38.23 40.88Comit Globale 1238 1179 1218 1056 949EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.01 -0.03 -0.09 -0.21 -0.2810Y Treas. Yield (%) 2.33 1.73 1.60 1.22 1.263m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 0.6 0.8 1.1 1.0 –OECD CLI 100.71 100.79 100.88 100.64 100.53*PMI 54.1 52.7 55.6 53.5 53.5PPI (YoY%) -3.0 -3.9 -3.9 -3.9 -4.2*Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Baa2 Baa2 Baa2 Baa2 Baa2Sov. Rating, S&P BBB- BBB- BBB- BBB- BBB-5Y CDS (bps) 136.31 121.62 97.23 126.70 152.05FDI (%GDP) – – 0.15 – –Fiscal Budget (%GDP) – – -2.60 – –

1990 2000 20100

20

40

60

80

1001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2x 10

5 Jamaica

1990 2000 20100

50

100

150JMD/USD

1990 2000 20105

10

15

20

25

30

3m Treas. 10Y Treas.

1990 2000 2010−4

−2

0

2

4

GDP

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

2

4

6

8

10

12FDI

Jamaica 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 15.83 16.19 6.21 15.55 14.871Yr. PD, Fin. 19.91 24.02 13.55 17.00 28.13Jamaica 97271 96295 150692 153911 159717JMD/USD 116.64 118.70 119.97 121.64 126.603m Treas. Yield (%) 6.48 6.20 5.96 5.75 5.8610Y Treas. Yield (%) 6.29 6.69 7.00 6.66 6.35GDP (YoY%) – – 0.8 – –Sov. Rating, Moody’s Caa2 Caa2 Caa2 Caa2 Caa2Sov. Rating, S&P B B B B BFDI (%GDP) – – 5.67 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 93

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 2010500

1000

1500

2000

2500NIKKEI 500

1990 2000 201060

80

100

120

140

160USD/JPY

1990 2000 2010−2

0

2

4

6

8

10

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

40

50

60GDP OECD CLI PMI

1990 2000 2010−1

0

1

2

3

4

5

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100

150

200Moody’s S&P 5Y CDS

1990 2000 2010−0.2

0

0.2

0.4

0.6FDI

1990 2000 2010−15

−10

−5

0

5Fiscal Budget

Japan 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 1.83 2.93 2.43 3.84 4.011Yr. PD, Fin. 6.61 10.10 8.94 10.38 13.38NIKKEI 500 1800 1574 1754 1590 1513USD/JPY 122.50 119.88 120.22 112.57 103.203m Treas. Yield (%) 0.00 -0.02 -0.04 -0.12 -0.2710Y Treas. Yield (%) 0.47 0.36 0.27 -0.03 -0.223m Interbank (%) 0.17 0.17 0.17 0.10 0.06GDP (YoY%) 0.7 1.8 0.8 0.0 –OECD CLI 100.29 100.03 99.71 99.60 99.59*PMI 50.1 51.0 52.6 49.1 48.1Money Supply (YoY%) 3.20 3.10 2.50 2.60 2.90Sov. Rating, Moody’s A1 A1 A1 A1 A1Sov. Rating, S&P A+ A+ A+ A+ A+5Y CDS (bps) 43.24 45.61 46.74 45.76 –FDI (%GDP) – – 0.00 – –Fiscal Budget (%GDP) – – -6.70 – –

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800MSCI Jordan

1990 2000 20100.64

0.66

0.68

0.7

0.72USD/JOD

1990 2000 20103

4

5

6

7

8

3m Interbank

1990 2000 2010−2

0

2

4

6

8

10

GDP

1990 2000 20100

5

10

15

20

25

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 2010−5

0

5

10

15

20

25FDI

Jordan 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 14.09 15.60 15.81 13.10 11.811Yr. PD, Fin. 8.25 9.10 8.68 7.86 9.45MSCI Jordan 179 178 180 170 166USD/JOD 0.71 0.71 0.71 0.71 0.713m Interbank (%) 4.59 4.39 4.36 4.36 4.36GDP (YoY%) 2.5 2.9 2.9 2.5 –Money Supply (YoY%) 6.70 6.90 8.09 6.85 4.68*Sov. Rating, Moody’s B1 B1 B1 B1 B1Sov. Rating, S&P BB- BB- BB- BB- BB-FDI (%GDP) – – 3.40 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 94

1990 2000 20100

100

200

300

400

500

6001Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000

2500

3000KASE

1990 2000 20100

100

200

300

400USD/KZT

1990 2000 20100

5

10

15

20

25

10Y Treas. 3m Interbank

1990 2000 2010−15

−10

−5

0

5

10

15

GDP

1990 2000 2010−50

0

50

100

150

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000

1500

2000Moody’s S&P 5Y CDS

1990 2000 20100

5

10

15FDI

Kazakhstan 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.85 30.25 14.61 10.37 8.841Yr. PD, Fin. 180.39 208.74 182.37 154.39 131.43KASE 900 800 859 971 985USD/KZT 186.26 272.11 340.60 344.93 339.1810Y Treas. Yield (%) 0.00* – – – –3m Interbank (%) 8.35 11.00 18.67 17.00 15.92GDP (YoY%) – – 1.2 – –PPI (YoY%) -24.1 -23.7 -4.8 8.2 18.7Money Supply (YoY%) -12.44 -11.72 7.94 24.94 25.20Sov. Rating, S&P BBB- BBB- BBB- BBB- BBB-5Y CDS (bps) 271.13* – – – –FDI (%GDP) – – 2.18 – –

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2x 10

4Kuwait Stock Exchange

1990 2000 20100.26

0.27

0.28

0.29

0.3

0.31USD/KWD

1990 2000 20100

2

4

6

8

3m Treas. 3m Interbank

1990 2000 2010−60

−40

−20

0

20

40

60

GDP

1990 2000 2010−10

0

10

20

30

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 2010−0.5

0

0.5

1

1.5

2

2.5FDI

Kuwait 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 12.56 16.19 14.98 14.35 15.281Yr. PD, Fin. 20.79 27.50 23.11 25.01 23.65Kuwait Stock Exchange 6203 5726 5615 5229 5365USD/KWD 0.30 0.30 0.30 0.30 0.303m Treas. Yield (%) 1.25 1.31 1.69 1.63 1.503m Interbank (%) 1.25 1.31* – – –GDP (YoY%) – – 1.9 – –Money Supply (YoY%) 4.29 5.47 1.72 4.16 –Sov. Rating, Moody’s Aa2 Aa2 Aa2 Aa2 Aa2Sov. Rating, S&P AA AA AA AA AAFDI (%GDP) – – 0.25 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 95

1990 2000 20100

200

400

600

800

10001Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800OMX Riga

1990 2000 20100.4

0.5

0.6

0.7

0.8USD/LVL

1990 2000 20100

5

10

15

10Y Treas. 3m Interbank

1990 2000 2010−20

−10

0

10

20

GDP

1990 2000 2010−50

0

50

100

150

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000

1500Moody’s S&P 5Y CDS

1990 2000 2010−2

0

2

4

6

8

10FDI

1990 2000 2010−4

−3

−2

−1

0

1Fiscal Budget

Latvia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 24.26 27.02 17.65 12.23 10.14OMX Riga 439 571 594 616 621USD/LVL 0.63 0.63 0.64 0.62 0.63GDP (YoY%) 2.8 3.5 2.7 2.1 –Sov. Rating, Moody’s A3 A3 A3 A3 A3Sov. Rating, S&P A- A- A- A- A-5Y CDS (bps) – 90.30 90.26* 88.57 81.82FDI (%GDP) – – 2.66 – –

1990 2000 20100

200

400

600

8001Yr. PD

Non−Fin Fin

1990 2000 20100

100

200

300

400

500

600OMX Vilnius

1990 2000 20102

2.5

3

3.5

4

4.5USD/LTL

1990 2000 20100

5

10

15

20

25

10Y Treas. 3m Interbank

1990 2000 2010−20

−10

0

10

20

GDP

1990 2000 2010−100

−50

0

50

100

150

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800

1000Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10FDI

Lithuania 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.31 8.80 8.57 6.36 14.771Yr. PD, Fin. 8.73 8.23 7.13 13.47 8.44OMX Vilnius 497 480 486 508 511USD/LTL 3.09 3.08 3.16 3.03 3.1010Y Treas. Yield (%) 0.77* 1.74* 1.49* 1.06 0.79GDP (YoY%) 1.4 1.7 2.0 2.3 –PPI (YoY%) -7.0 -12.5 -7.9 -10.0 -6.9Money Supply (YoY%) -62.70 -62.40 -61.50 5.30 5.10Sov. Rating, Moody’s A3 A3 A3 A3 A3Sov. Rating, S&P A- A- A- A- A-5Y CDS (bps) – 86.74* – 90.64 83.52FDI (%GDP) – – 1.52 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 96

1990 2000 20100

20

40

60

80

1001Yr. PD

Non−Fin Fin

1990 2000 2010500

1000

1500

2000

2500

3000LuxX Index

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−2

0

2

4

6

3m Interbank

1990 2000 2010−10

0

10

20

30

40

50

60GDP OECD CLI

1990 2000 2010−20

−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 2010−200

0

200

400

600FDI

1990 2000 2010−2

0

2

4

6

8Fiscal Budget

Luxembourg 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 4.43 7.21 5.46 7.64 10.161Yr. PD, Fin. 10.03 6.86 7.35 8.52 11.40LuxX Index 1654 1361 1391 1451 1399EUR/USD 1.12 1.12 1.09 1.14 1.113m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 5.5 5.3 3.6 4.4 –PPI (YoY%) 0.6 -1.6 -3.0 -5.2 -5.3*Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAAFDI (%GDP) – – 42.56 – –Fiscal Budget (%GDP) – – 1.20 – –

1990 2000 2010

0

50

100

150

1Yr. PD

Non−Fin Fin

1990 2000 2010

0

2000

4000

6000

8000

10000

12000

MBI 10

1990 2000 2010

30

40

50

60

70

80

USD/MKD

1990 2000 2010

0

20

40

60

80

100

120

3m Treas. 10Y Treas.

1990 2000 2010

−10

−5

0

5

10

GDP

1990 2000 2010

AAA

AA

A

BBB

BB

B

CCC

CCC

S&P

1990 2000 2010

0

5

10

15

FDI

Macedonia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 15.05 6.64 6.79 5.33 4.881Yr. PD, Fin. 31.65 27.14 17.98 12.06 14.58MBI 10 1641 1704 1833 1781 1707USD/MKD 55.12 52.61 56.43 54.20 55.243m Treas. Yield (%) – – 1.35 1.60* 1.6010Y Treas. Yield (%) 100.56 100.10 100.05 – –GDP (YoY%) – – 3.7 – –Sov. Rating, S&P BB- BB- BB- BB- BB-FDI (%GDP) – – 1.91 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 97

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000KLSE Composite

1990 2000 20102

2.5

3

3.5

4

4.5USD/MYR

1990 2000 20100

2

4

6

8

10

12

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

15

GDP

1990 2000 2010−20

0

20

40

60

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300

400

500Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10FDI

1990 2000 2010−8

−6

−4

−2

0

2

4Fiscal Budget

Malaysia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 14.41 17.20 13.24 15.48 15.961Yr. PD, Fin. 14.75 20.17 16.61 13.15 13.68KLSE Composite 1707 1621 1693 1718 1654USD/MYR 3.77 4.39 4.29 3.90 4.033m Treas. Yield (%) 3.06 3.14 2.74 2.39 2.6910Y Treas. Yield (%) 4.03 4.15 4.19 3.80 3.743m Interbank (%) 3.69 3.74 3.84 3.71 3.65GDP (YoY%) 4.9 4.7 4.5 4.2 –Money Supply (YoY%) 5.80 5.20 2.60 0.90 2.20*Sov. Rating, Moody’s A3 A3 A3 A3 A3Sov. Rating, S&P A- A- A- A- A-5Y CDS (bps) 137.84 238.82 180.22 153.00 154.51FDI (%GDP) – – 3.70 – –Fiscal Budget (%GDP) – – -3.20 – –

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 20100

2000

4000

6000

8000Malta Stock Exchange

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−2

0

2

4

6

3m Treas. 3m Interbank

1990 2000 2010−5

0

5

10

15

20

25

GDP

1990 2000 2010−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

50

100

150

200

250Moody’s S&P 5Y CDS

1990 2000 2010−15000

−10000

−5000

0

5000FDI

1990 2000 2010−10

−8

−6

−4

−2

0Fiscal Budget

Malta 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 1.08 1.13 1.57 2.56 4.501Yr. PD, Fin. 7.38 6.78 5.75 11.23 5.00Malta Stock Exchange 4091 4334 4431 4563 4561EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.00 -0.00 -0.10 -0.14 -0.283m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 9.2 9.2 9.0 7.6 –PPI (YoY%) -3.9 -3.4 -2.9 -3.3 1.0Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s A3 A3 A3 A3 A3Sov. Rating, S&P BBB+ BBB+ BBB+ BBB+ BBB+Fiscal Budget (%GDP) – – -1.50 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 98

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

1

2

3

4

5x 10

4 BOLSA

1990 2000 20100

5

10

15

20MXN/USD

1990 2000 20100

20

40

60

80

10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

20

40

60GDP OECD CLI PMI

1990 2000 2010−20

0

20

40

60

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4

5FDI

1990 2000 2010−4

−3

−2

−1

0

1Fiscal Budget

Mexico 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 2.48 3.31 2.66 1.99 2.561Yr. PD, Fin. 11.96 6.34 4.21 5.26 1.73BOLSA 45054 42633 42978 45881 45966MXN/USD 15.68 16.94 17.39 17.23 18.5410Y Treas. Yield (%) 6.25 6.07 6.18* 6.03 5.91*3m Interbank (%) 3.32 3.33 3.59 4.12 4.23GDP (YoY%) 2.3 2.7 2.4 2.6 –OECD CLI 99.92 99.24 99.60 100.10 100.08*PMI 52.0 52.1 52.4 53.2 51.1PPI (YoY%) 0.7 0.8 1.3 2.9 5.0Money Supply (YoY%) 9.40 8.80 7.20 7.70 6.70*Sov. Rating, Moody’s Baa1 Baa1 Baa1 Baa1 Baa1Sov. Rating, S&P BBB+ BBB+ BBB+ BBB+ BBB+5Y CDS (bps) 131.15 175.99 170.13 162.36 159.12FDI (%GDP) – – 2.65 – –Fiscal Budget (%GDP) – – -3.49 – –

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20100

1

2

3

4x 10

4 CFG 25

1990 2000 20107

8

9

10

11

12USD/MAD

1990 2000 20103.5

4

4.5

5

5.5

10Y Treas.

1990 2000 20100

2

4

6

8

GDP

1990 2000 20100

5

10

15

20

25

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

1

2

3

4

5FDI

Morocco 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 12.32 15.65 13.22 12.68 12.081Yr. PD, Fin. 21.47 25.24 29.88 19.20 19.05CFG 25 20205 19457 19002 19872 20098USD/MAD 9.71 9.71 9.89 9.63 9.7710Y Treas. Yield (%) – 5.01 – – –GDP (YoY%) 4.3 4.6 5.2 1.7 –Money Supply (YoY%) 6.19 5.20 5.70 5.50 5.30*Sov. Rating, Moody’s Ba1 Ba1 Ba1 Ba1 Ba1Sov. Rating, S&P BBB- BBB- BBB- BBB- BBB-FDI (%GDP) – – 3.15 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 99

1990 2000 201010

20

30

40

50

60

701Yr. PD

Non−Fin

1990 2000 20100

500

1000

1500

2000

2500Montenegro Stock Exchange

1990 2000 2010

0.7

0.8

0.9

1

1.1

1.2

1.3

EUR/USD

1990 2000 2010−10

−5

0

5

10

15

GDP

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

10

20

30

40FDI

Montenegro 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 18.04 22.99 18.27 23.11 23.14EUR/USD 0.89 0.89 0.92 0.88 0.90Sov. Rating, Moody’s B1 B1 B1 B1 B1Sov. Rating, S&P B+ B+ B+ B+ B+FDI (%GDP) – – 17.53 – –

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 2010100

200

300

400

500

600

700AEX

1990 2000 20100.8

1

1.2

1.4

1.6EUR/USD

1990 2000 2010−2

0

2

4

6

8

10

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

40

50

60GDP OECD CLI PMI

1990 2000 2010−20

−10

0

10

20

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100

150Moody’s S&P 5Y CDS

1990 2000 20100

20

40

60

80

100FDI

1990 2000 2010−10

−8

−6

−4

−2

0

2Fiscal Budget

Netherlands 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 6.03 8.28 7.59 7.45 8.041Yr. PD, Fin. 14.69 11.19 12.82 19.08 25.19AEX 473 421 442 440 436EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.27 -0.28 -0.50 -0.53 -0.6610Y Treas. Yield (%) 1.03 0.78 0.79 0.36 0.093m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 2.2 2.0 1.1 1.0 –OECD CLI 100.51 100.32 100.02 99.80 99.79*PMI 56.2 53.0 53.4 53.6 52.0PPI (YoY%) -5.6 -8.2 -7.2 -9.5 -8.2*Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAA5Y CDS (bps) 20.55 17.16 15.88 25.60 26.67FDI (%GDP) – – 9.13 – –Fiscal Budget (%GDP) – – -1.80 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 100

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 2010400

600

800

1000

1200

1400NZSE

1990 2000 20101

1.5

2

2.5

3NZD/USD

1990 2000 20100

5

10

15

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−4

−2

0

2

4

6

8

35

40

45

50

55

60

65GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200Moody’s S&P 5Y CDS

1990 2000 2010−4000

−2000

0

2000

4000

6000FDI

1990 2000 2010−10

−5

0

5

10Fiscal Budget

New Zealand 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 2.07 1.80 1.79 1.65 1.931Yr. PD, Fin. 0.11 0.21 0.20 0.20 0.54NZSE 1121 1081 1217 1283 1305NZD/USD 1.48 1.57 1.46 1.44 1.403m Treas. Yield (%) 2.77 2.50 2.50 1.94 2.0910Y Treas. Yield (%) 3.63 3.28 3.57 2.93 2.353m Interbank (%) 3.26 2.84 2.75 2.34 2.42GDP (YoY%) – – 3.0 – –PMI 55.4 55.0 56.9 54.8 57.7PPI (YoY%) -2.2 0.2 -0.6 0.1 –Money Supply (YoY%) 9.50 8.50 8.10 7.80 5.90Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AA AA AA AA AAFiscal Budget (%GDP) – – 1.35 – –

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20100

2

4

6

8x 10

4 NSE ALL Share Index

1990 2000 20100

50

100

150

200

250

300USD/NGN

1990 2000 20105

10

15

20

25

10Y Treas. 3m Interbank

1990 2000 20100

5

10

15

GDP

1990 2000 2010−50

0

50

100

150

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

S&P

1990 2000 20100

2

4

6

8

10

12FDI

Nigeria 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 15.35 21.75 23.56 23.76 57.101Yr. PD, Fin. 37.63 45.66 55.76 64.03 110.37NSE ALL Share Index 33457 31218 28642 25306 29598USD/NGN 199.00 199.05 199.20 199.25 281.3010Y Treas. Yield (%) 13.50 – 13.87* 12.09 14.403m Interbank (%) 15.98 15.55 10.68 11.66 10.45*GDP (YoY%) – – 2.6 – –Money Supply (YoY%) 16.32 11.32 5.82 6.94 15.28Sov. Rating, S&P B+ B+ B+ B+ B+FDI (%GDP) – – 0.64 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 101

1990 2000 20100

50

100

150

200

250

3001Yr. PD

Non−Fin Fin

1990 2000 20100

100

200

300

400

500OBX Price

1990 2000 20105

6

7

8

9

10USD/NOK

1990 2000 20100

5

10

15

20

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−5

0

5

10

20

40

60

80GDP OECD CLI PMI

1990 2000 2010−20

−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100Moody’s S&P 5Y CDS

1990 2000 2010−4

−2

0

2

4

6

8FDI

1990 2000 2010−5

0

5

10

15

20Fiscal Budget

Norway 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 42.52 53.25 51.18 52.06 47.251Yr. PD, Fin. 60.56 65.51 70.47 65.85 73.00OBX Price 386 350 362 346 353USD/NOK 7.85 8.52 8.84 8.27 8.363m Treas. Yield (%) 0.89 0.62 0.57 0.44 0.5410Y Treas. Yield (%) 1.85 1.47 1.48 1.21 1.013m Interbank (%) 1.33 1.12 1.13 1.00 1.01GDP (YoY%) 1.4 2.8 0.2 1.4 –OECD CLI 99.33 99.39 99.43 99.42 99.46*PMI 43.6 47.7 47.3 47.1 53.5PPI (YoY%) -4.9 -10.1 -10.8 -14.9 -9.7Money Supply (YoY%) -1.70 -0.40* – – –Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAA5Y CDS (bps) – – 13.41* – –FDI (%GDP) – – -2.56 – –Fiscal Budget (%GDP) – – 6.94 – –

1990 2000 20100

10

20

30

401Yr. PD

Non−Fin Fin

1990 2000 20101000

2000

3000

4000

5000

6000Oman Stock Exchange

1990 2000 20100.38

0.39

0.4

0.41

0.42USD/OMR

1990 2000 20100

1

2

3

4

5

3m Treas. 3m Interbank

1990 2000 2010−5

0

5

10

GDP

1990 2000 2010−40

−20

0

20

40

60

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

2

4

6

8FDI

Oman 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 3.39 4.46 3.03 2.15 2.281Yr. PD, Fin. 18.44 34.66 28.12 27.40 27.49USD/OMR 0.39 0.39 0.38 0.39 0.393m Treas. Yield (%) 0.45 0.45 1.10 1.10 1.003m Interbank (%) 0.39 0.39 0.39 0.39 0.39GDP (YoY%) – – 4.1 – –PPI (YoY%) -15.3 -15.4 -15.9 – –Money Supply (YoY%) 11.04 11.09 10.02 7.89 4.62*Sov. Rating, Moody’s Baa1 Baa1 Baa1 Baa1 Baa1Sov. Rating, S&P BBB- BBB- BBB- BBB- BBB-FDI (%GDP) – – 1.17 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 102

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2

2.5

3x 10

4 KSE ALL

1990 2000 201020

40

60

80

100

120USD/PKR

1990 2000 20100

5

10

15

20

3m Treas. 3m Interbank

1990 2000 20100

5

10

15

20

25

30

GDP

1990 2000 20105

10

15

20

25

30

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4FDI

1990 2000 20100

2

4

6

8

10Fiscal Budget

Pakistan 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.56 9.46 9.38 9.05 7.401Yr. PD, Fin. 71.57 102.11 89.45 95.33 73.67KSE ALL 24037 22709 22937 22897 25313USD/PKR 101.78 104.46 104.73 104.71 104.753m Treas. Yield (%) 6.94 6.95* – – –3m Interbank (%) 6.76 6.35 6.24 6.10 5.80Money Supply (YoY%) 13.20 14.50 13.00 13.50 12.00*Sov. Rating, Moody’s B3 B3 B3 B3 B3Sov. Rating, S&P B- B- B- B- B-FDI (%GDP) – – 0.36 – –Fiscal Budget (%GDP) – – 5.30 – –

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2

2.5x 10

4 IGBVL

1990 2000 20101

1.5

2

2.5

3

3.5

4PEN/USD

1990 2000 20100

2

4

6

8

10

10Y Treas. 3m Interbank

1990 2000 2010−5

0

5

10

15

GDP

1990 2000 2010−50

0

50

100

150

200

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 2010−2

0

2

4

6

8FDI

1990 2000 2010−10

−5

0

5Fiscal Budget

Peru 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 10.63 20.07 20.82 18.43 23.571Yr. PD, Fin. 13.14 15.38 29.30 22.68 23.76IGBVL 13367* – – – –PEN/USD 3.18 3.23 3.41 3.31 3.2910Y Treas. Yield (%) 6.37 7.58 7.31 6.95 6.083m Interbank (%) 4.21 5.22 5.16 5.59 5.76GDP (YoY%) – – 3.2 – –PPI (YoY%) 2.1 1.9 2.6 1.8 1.0Money Supply (YoY%) 2.70 1.40 3.40 4.00 8.60Sov. Rating, Moody’s A3 A3 A3 A3 A3Sov. Rating, S&P BBB+ BBB+ BBB+ BBB+ BBB+5Y CDS (bps) 140.12 195.73 187.66 162.62 138.66FDI (%GDP) – – 3.57 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 103

1990 2000 20100

50

100

1501Yr. PD

Non−Fin Fin

1990 2000 20100

2000

4000

6000

8000PSEi

1990 2000 201020

30

40

50

60USD/PHP

1990 2000 20100

10

20

30

40

3m Treas. 10Y Treas. 3m Interbank

1990 2000 20100

2

4

6

8

10

GDP

1990 2000 2010−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800

1000Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4FDI

1990 2000 2010−6

−4

−2

0

2Fiscal Budget

Philippines 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 4.39 6.79 5.43 6.54 7.231Yr. PD, Fin. 6.88 10.95 12.37 15.20 11.06PSEi 7565 6894 6952 7262 7796USD/PHP 45.11 46.73 46.91 45.97 47.163m Treas. Yield (%) 2.08 1.69 2.67 1.76 1.7610Y Treas. Yield (%) 4.37 3.80 4.10 4.71 4.22GDP (YoY%) 5.9 6.2 6.5 6.9 –PPI (YoY%) -6.3 -8.2 -7.4 -6.3 -3.7*Sov. Rating, Moody’s Baa2 Baa2 Baa2 Baa2 Baa2Sov. Rating, S&P BBB BBB BBB BBB BBB5Y CDS (bps) 93.17 134.65 107.67 105.32 114.17FDI (%GDP) – – 1.96 – –Fiscal Budget (%GDP) – – -0.91 – –

1990 2000 20100

50

100

150

200

2501Yr. PD

Non−Fin Fin

1990 2000 20100

2

4

6

8x 10

4 WIG

1990 2000 20101

2

3

4

5USD/PLN

1990 2000 20100

5

10

15

20

25

30

10Y Treas. 3m Interbank

1990 2000 20100

2

4

6

8

10

46

48

50

52

54

56GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300

400

500Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8FDI

1990 2000 2010−8

−6

−4

−2

0Fiscal Budget

Poland 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 23.74 24.30 23.93 22.20 27.311Yr. PD, Fin. 31.11 29.96 31.65 27.59 31.99WIG 53329 49825 46467 49017 44749USD/PLN 3.75 3.78 3.91 3.75 3.9810Y Treas. Yield (%) 3.31 2.84 2.94 2.84 2.913m Interbank (%) 1.62 1.63 1.62 1.57 1.61GDP (YoY%) 3.1 3.4 4.3 3.0 –OECD CLI 100.73 100.80 100.79 100.16 99.90*PMI 54.3 50.9 52.1 53.8 51.8PPI (YoY%) -1.4 -2.8 -0.8 -1.9 -0.7Money Supply (YoY%) 8.19 8.29 9.10 9.06 11.39Sov. Rating, Moody’s A2 A2 A2 A2 A2Sov. Rating, S&P A- A- A- A- A-5Y CDS (bps) 74.99 79.67 74.17 87.14 85.92FDI (%GDP) – – 1.32 – –Fiscal Budget (%GDP) – – -2.60 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 104

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

1000

2000

3000

4000

5000PSI General

1990 2000 20100.8

1

1.2

1.4

1.6

1.8EUR/USD

1990 2000 2010−5

0

5

10

15

20

10Y Treas. 3m Interbank

1990 2000 2010−5

−4

−3

−2

−1

0

1

2

3

4

5

44

45

46

47

48

49

50

51

52

53

54GDP OECD CLI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800

1000

1200

1400

1600

1800

2000Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15FDI

1990 2000 2010−12

−10

−8

−6

−4

−2

0Fiscal Budget

Portugal 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 36.35 30.00 25.35 32.90 33.811Yr. PD, Fin. 45.48 84.07 55.56 83.89 67.08PSI General 2537 2331 2524 2466 2370EUR/USD 1.12 1.12 1.09 1.14 1.1110Y Treas. Yield (%) 3.00 2.39 2.52 2.94 3.013m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 1.5 1.4 1.3 0.9 –OECD CLI 100.91 100.70 100.26 100.34 100.43*PPI (YoY%) -1.9 -4.2 -2.7 -3.9 -3.2Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Ba1 Ba1 Ba1 Ba1 Ba1Sov. Rating, S&P BB+ BB+ BB+ BB+ BB+5Y CDS (bps) 195.05 173.17 170.51 264.40 310.71FDI (%GDP) – – -0.66 – –Fiscal Budget (%GDP) – – -4.40 – –

1990 2000 20100

50

100

150

200

2501Yr. PD

Non−Fin Fin

1990 2000 20100

2000

4000

6000

8000

10000

12000BET

1990 2000 20100

1

2

3

4

5x 10

4 USD/ROL

1990 2000 20100

50

100

150

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

15

GDP

1990 2000 2010−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10FDI

1990 2000 2010−10

−8

−6

−4

−2

0Fiscal Budget

Romania 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 41.14 32.33 29.41 27.82 40.811Yr. PD, Fin. 43.28 27.74 30.69 23.61 20.56BET 7298 6982 7004 6738 6473USD/ROL 39984.00 39373.00 41488.01 39327.50 40577.5010Y Treas. Yield (%) 4.18 3.62 3.71 3.32 3.403m Interbank (%) 1.12 1.27 0.81 0.57 0.61GDP (YoY%) 3.4 3.6 3.8 4.3 –PPI (YoY%) -1.9 -2.8 -1.7 -3.4 -2.8*Money Supply (YoY%) 8.91 8.40 9.39 9.94 13.08Sov. Rating, Moody’s Baa3 Baa3 Baa3 Baa3 Baa3Sov. Rating, S&P BBB- BBB- BBB- BBB- BBB-5Y CDS (bps) 132.38 135.11 131.19 117.02 150.07FDI (%GDP) – – 2.19 – –Fiscal Budget (%GDP) – – -0.70 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 105

1990 2000 20100

500

1000

15001Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000MICEX

1990 2000 20100

20

40

60

80USD/RUB

1990 2000 20100

5

10

15

20

3m Treas. 10Y Treas.

1990 2000 2010−20

−10

0

10

20

40

45

50

55

60GDP OECD CLI PMI

1990 2000 2010−20

0

20

40

60

80

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

1000

2000Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4

5FDI

1990 2000 2010−10

−5

0

5

10Fiscal Budget

Russia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 70.82 87.56 75.03 48.29 43.541Yr. PD, Fin. 127.58 103.35 114.10 93.10 80.87MICEX 1655 1643 1761 1871 1891USD/RUB 55.61 65.48 73.85 67.23 64.163m Treas. Yield (%) 10.93 10.53 9.88 11.17 10.99GDP (YoY%) -4.5 -3.7 -3.8 -1.2 –OECD CLI 99.62 98.95 98.27 98.64 99.19*PMI 48.7 49.1 48.7 48.3 51.5PPI (YoY%) 13.1 12.7 10.7 0.8 5.1Money Supply (YoY%) 6.80 7.50 11.50 12.00 12.20*Sov. Rating, Moody’s Ba1 Ba1 Ba1 Ba1 Ba1Sov. Rating, S&P BB+ BB+ BB+ BB+ BB+5Y CDS (bps) 341.87 361.13 308.97 283.19 232.87FDI (%GDP) – – 0.36 – –Fiscal Budget (%GDP) – – -2.85 – –

1990 2000 20100

20

40

60

80

1001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2x 10

4 TASI

1990 2000 20103.7

3.72

3.74

3.76

3.78USD/SAR

1990 2000 20100

1

2

3

4

5

6

3m Interbank

1990 2000 2010−5

0

5

10

15

20

52

54

56

58

60

62GDP PMI

1990 2000 2010−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

50

100

150

200

250Moody’s S&P 5Y CDS

1990 2000 2010−2

0

2

4

6

8

10FDI

Saudi Arabia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 1.62 4.59 3.12 5.99 6.201Yr. PD, Fin. 1.09 1.80 1.54 2.12 1.56TASI 9087 7404 6912 6223 6500USD/SAR 3.75 3.75 3.75 3.75 3.753m Interbank (%) 0.78 0.90 1.55 1.80 2.22GDP (YoY%) – – 3.4 – –PMI 56.1 56.5 54.4 54.5 54.4PPI (YoY%) -1.1 -1.2 -1.4 – –Money Supply (YoY%) 10.50 8.50 2.60 -0.40 -2.60Sov. Rating, Moody’s A1 A1 A1 A1 A1Sov. Rating, S&P A- A- A- A- A-FDI (%GDP) – – 1.26 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 106

1990 2000 20100

100

200

300

4001Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800

1000Belgrade Stock Exchange

1990 2000 20100

20

40

60

80

100

120USD/RSD

1990 2000 2010−30

−20

−10

0

10

20

30

GDP

1990 2000 2010−5

0

5

10

15

20

PPI

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 20100

5

10

15FDI

Serbia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 30.93 28.00 21.95 27.69 24.531Yr. PD, Fin. 50.52 52.85 61.40 55.19 50.17Belgrade Stock Exchange 336 323 306 283 288USD/RSD 107.59 106.75 111.39 108.07 110.58GDP (YoY%) 1.0 – – – –PPI (YoY%) 1.2 -1.2 0.7 -1.5 -1.6Sov. Rating, Moody’s B1 B1 B1 B1 B1Sov. Rating, S&P BB- BB- BB- BB- BB-FDI (%GDP) – – 6.42 – –

1990 2000 20100

50

100

150

200

2501Yr. PD

Non−Fin Fin

1990 2000 20101000

1500

2000

2500

3000

3500

4000STI

1990 2000 2010

1.3

1.4

1.5

1.6

1.7

1.8

1.9

USD/SGD

1990 2000 20100

1

2

3

4

5

6

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

15

20

40

45

50

55

60

65

70GDP PMI

1990 2000 2010−10

0

10

20

30

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

5

10

15

20

25

30FDI

1990 2000 2010−2

0

2

4

6

8Fiscal Budget

Singapore 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 10.67 17.06 17.43 20.88 19.881Yr. PD, Fin. 0.72 1.36 2.04 2.90 3.24STI 3317 2791 2883 2841 2841USD/SGD 1.35 1.42 1.42 1.35 1.353m Treas. Yield (%) 0.88 1.25 0.89 0.76 0.6610Y Treas. Yield (%) 2.69 2.54 2.60 1.84 1.913m Interbank (%) 0.82 1.14 1.19 1.06 0.93GDP (YoY%) 1.7 1.8 1.8 2.1 2.2PMI 50.4 48.6 49.5 49.4 49.6Money Supply (YoY%) 3.70 3.30 1.70 2.20 4.20Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAAFDI (%GDP) – – 22.29 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 107

1990 2000 20100

50

100

150

2001Yr. PD

Non−Fin Fin

1990 2000 20100

100

200

300

400

500Slovak Share Index

1990 2000 20100

0.5

1

1.5

2EUR/USD

1990 2000 2010−10

0

10

20

30

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

15

44

46

48

50

52

54GDP OECD CLI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400Moody’s S&P 5Y CDS

1990 2000 20100

5

10

15FDI

1990 2000 2010−40

−30

−20

−10

0Fiscal Budget

Slovakia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 11.26 10.55 7.59 6.48 10.731Yr. PD, Fin. 19.12 26.80 24.20 26.12 34.65Slovak Share Index 256 269 292 325 313EUR/USD 1.12 1.12 1.09 1.14 1.113m Treas. Yield (%) -0.03 -0.07 -0.13 -0.17 -0.2010Y Treas. Yield (%) 1.33 0.79 0.73 0.36 0.59GDP (YoY%) 3.5 3.8 4.0 3.7 –PPI (YoY%) -4.4 -5.2 -4.5 -6.0 -4.5Money Supply (YoY%) 4.90 4.80 5.10 5.30 4.80Sov. Rating, Moody’s A2 A2 A2 A2 A2Sov. Rating, S&P A+ A+ A+ A+ A+5Y CDS (bps) 49.01 50.46 48.49 45.56 43.91FDI (%GDP) – – 2.48 – –Fiscal Budget (%GDP) – – -3.00 – –

1990 2000 20100

100

200

300

4001Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800

1000Slovene Stock Exchange Index

1990 2000 20100.5

1

1.5

2

2.5EUR/USD

1990 2000 20100

2

4

6

8

10

10Y Treas. 3m Interbank

1990 2000 2010−10

−8

−6

−4

−2

0

2

4

6

8

10

44

45

46

47

48

49

50

51

52

53

54GDP OECD CLI

1990 2000 2010−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600Moody’s S&P 5Y CDS

1990 2000 2010−2

0

2

4

6

8FDI

1990 2000 2010−15

−10

−5

0Fiscal Budget

Slovenia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 17.09 16.61 12.77 15.69 11.641Yr. PD, Fin. 18.11 18.07 13.16 8.65 8.42Slovene Stock Exchange Index 250 214 201 216 210EUR/USD 1.12 1.12 1.09 1.14 1.1110Y Treas. Yield (%) 2.13 2.07 1.61 1.48 1.41*GDP (YoY%) 2.6 2.2 2.5 2.3 –OECD CLI 100.53 100.54 100.38 100.09 99.74PPI (YoY%) 0.4 -1.0 -1.4 -2.2 -2.0Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Baa3 Baa3 Baa3 Baa3 Baa3Sov. Rating, S&P A A A A A5Y CDS (bps) 129.21 119.51 113.95 115.22 115.14FDI (%GDP) – – 2.46 – –Fiscal Budget (%GDP) – – -2.90 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 108

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500MSCI South Africa

1990 2000 20100

5

10

15

20USD/ZAR

1990 2000 20100

5

10

15

20

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−4

−2

0

2

4

6

8

35

40

45

50

55

60

65GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s S&P 5Y CDS

1990 2000 2010−2

0

2

4

6FDI

1990 2000 2010−10

−8

−6

−4

−2

0

2Fiscal Budget

South Africa 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 10.49 15.67 16.34 20.32 18.741Yr. PD, Fin. 14.14 21.07 26.45 30.45 23.65MSCI South Africa 1368 1260 1256 1347 1355USD/ZAR 12.24 13.83 15.63 14.78 14.803m Treas. Yield (%) 6.15 6.29 7.01 7.24 7.3510Y Treas. Yield (%) 8.23 8.45 9.78 9.18 8.903m Interbank (%) 6.14 6.31 6.63 7.23 7.36GDP (YoY%) 1.2 0.8 0.5 -0.2 –OECD CLI 100.09 99.74 99.63 99.48 99.43*PMI 51.5 49.9 45.5 50.5 53.7Money Supply (YoY%) 8.69 8.47 10.47 8.83 5.88Sov. Rating, Moody’s Baa2 Baa2 Baa2 Baa2 Baa2Sov. Rating, S&P BBB- BBB- BBB- BBB- BBB-5Y CDS (bps) 209.39 292.50 335.84 298.90 281.04FDI (%GDP) – – 0.50 – –Fiscal Budget (%GDP) – – -3.81 – –

1990 2000 20100

500

1000

1500

20001Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000

2500KOSPI

1990 2000 2010600

800

1000

1200

1400

1600

1800USD/KRW

1990 2000 20100

2

4

6

8

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

20

0

50

100

150GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

40

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800Moody’s S&P 5Y CDS

1990 2000 20100

0.5

1

1.5

2

2.5FDI

1990 2000 2010−2

0

2

4

6Fiscal Budget

South Korea 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 5.39 8.14 8.86 8.35 7.931Yr. PD, Fin. 14.45 18.43 21.91 22.84 25.41KOSPI 2074 1963 1961 1996 1970USD/KRW 1115.49 1185.39 1175.06 1143.42 1151.803m Treas. Yield (%) 1.57 1.50 1.55 1.50 1.2710Y Treas. Yield (%) 2.45 2.06 2.09 1.79 1.473m Interbank (%) 1.60 1.55 1.66 1.56 1.30GDP (YoY%) 2.2 2.8 3.1 2.8 3.2OECD CLI 100.92 100.93 100.99 101.03 101.05*PMI 76.0 71.0 69.0 66.0 74.0PPI (YoY%) -3.6 -4.6 -4.0 -3.3 -2.7Money Supply (YoY%) 10.50 10.50 8.90 8.60 7.70*Sov. Rating, Moody’s Aa2 Aa2 Aa2 Aa2 Aa2Sov. Rating, S&P AA- AA- AA- AA- AA-5Y CDS (bps) 51.40 78.50 56.56 64.00 56.13FDI (%GDP) – – 0.37 – –Fiscal Budget (%GDP) – – -0.03 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 109

1990 2000 20100

20

40

60

80

1001Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000IGBM

1990 2000 20100.8

1

1.2

1.4

1.6

1.8

2EUR/USD

1990 2000 2010−5

0

5

10

15

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

40

50

60GDP OECD CLI PMI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

1000Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8FDI

1990 2000 2010−15

−10

−5

0

5Fiscal Budget

Spain 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 9.69 11.19 10.00 10.51 10.751Yr. PD, Fin. 23.56 19.18 22.25 26.31 34.54IGBM 1093 966 965 880 821EUR/USD 1.12 1.12 1.09 1.14 1.1110Y Treas. Yield (%) 2.30 1.89 1.77 1.44 1.163m Interbank (%) -0.01 -0.04 -0.13 -0.24 -0.29GDP (YoY%) 3.2 3.4 3.5 3.4 –OECD CLI 101.56 101.46 101.39 101.13 101.01*PMI 54.5 51.7 53.0 53.4 52.2PPI (YoY%) -1.4 -3.6 -2.2 -5.4 -4.7Money Supply (YoY%) 4.60 4.50 4.60 5.00 4.90Sov. Rating, Moody’s Baa2 Baa2 Baa2 Baa2 Baa2Sov. Rating, S&P BBB+ BBB+ BBB+ BBB+ BBB+5Y CDS (bps) 109.98 109.25 89.88 94.56 111.30FDI (%GDP) – – 1.84 – –Fiscal Budget (%GDP) – – -5.10 – –

1990 2000 20100

20

40

60

80

1001Yr. PD

Non−Fin Fin

1990 2000 20100

2000

4000

6000

8000ASPI

1990 2000 20100

50

100

150USD/LKR

1990 2000 20105

10

15

20

3m Treas. 3m Interbank

1990 2000 2010−30

−20

−10

0

10

20

GDP

1990 2000 2010−200

0

200

400

600

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

0.5

1

1.5

2

2.5

3FDI

Sri Lanka 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 12.82 11.72 13.05 15.93 14.191Yr. PD, Fin. 34.02 40.14 41.76 58.04 53.67ASPI 7021 7051 6895 6072 6283USD/LKR 133.85 141.30 144.23 146.75 146.003m Interbank (%) 6.75 7.11 7.18 9.33 9.88GDP (YoY%) 6.0 5.6 2.5 5.5 –Money Supply (YoY%) 14.40 15.20 17.20 18.40 –Sov. Rating, Moody’s B1 B1 B1 B1 B1Sov. Rating, S&P B+ B+ B+ B+ B+FDI (%GDP) – – 0.83 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 110

1990 2000 20100

200

400

600

8001Yr. PD

Non−Fin Fin

1990 2000 20100

100

200

300

400

500

600OMX Stockholm PI

1990 2000 20105

6

7

8

9

10

11USD/SEK

1990 2000 2010−5

0

5

10

15

20

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

30

40

50

60

70GDP OECD CLI PMI

1990 2000 2010−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100

150

200Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15

20

25FDI

1990 2000 2010−15

−10

−5

0

5Fiscal Budget

Sweden 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 11.08 10.53 9.45 11.02 11.661Yr. PD, Fin. 7.53 8.16 5.67 8.77 10.23OMX Stockholm PI 505 476 505 483 471USD/SEK 8.29 8.37 8.44 8.12 8.463m Treas. Yield (%) -0.36 -0.48 -0.45 -0.61 -0.6510Y Treas. Yield (%) 0.99 0.73 1.00 0.53 0.263m Interbank (%) -0.22 -0.29 -0.29 -0.45 -0.53GDP (YoY%) 3.6 4.1 4.8 4.2 –OECD CLI 99.90 100.19 100.44 100.16 100.02*PMI 52.8 53.3 56.0 53.3 53.0PPI (YoY%) 0.5 -1.4 -1.9 -3.7 -1.9Money Supply (YoY%) 6.32 6.34 7.64 8.75 6.79Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAA5Y CDS (bps) – – 13.31 17.57 21.03*FDI (%GDP) – – 3.22 – –Fiscal Budget (%GDP) – – 0.00 – –

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20100

2000

4000

6000

8000

10000SPI

1990 2000 20100.5

1

1.5

2USD/CHF

1990 2000 2010−2

0

2

4

6

8

10

10Y Treas. 3m Interbank

1990 2000 2010−5

0

5

10

20

40

60

80GDP OECD CLI PMI

1990 2000 2010−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

50

100

150

200Moody’s S&P 5Y CDS

1990 2000 2010−5

0

5

10

15

20FDI

1990 2000 2010−4

−2

0

2

4Fiscal Budget

Switzerland 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 4.77 6.39 5.37 5.13 5.771Yr. PD, Fin. 6.89 8.60 8.31 8.70 11.99SPI 8919 8680 9094 8317 8660USD/CHF 0.94 0.97 1.00 0.96 0.9810Y Treas. Yield (%) 0.13 -0.12 -0.06 -0.34 -0.573m Interbank (%) -0.85 -0.80 -0.82 -0.79 -0.84GDP (YoY%) 1.3 0.5 0.3 0.7 –OECD CLI 99.19 99.42 99.61 99.85 99.92*PMI 50.2 47.0 50.4 53.2 51.6PPI (YoY%) -4.4 -4.8 -3.6 -3.5 -0.6Money Supply (YoY%) 2.14 1.32 1.67 1.74 2.50Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AAA AAA AAA AAA AAAFDI (%GDP) – – 18.01 – –Fiscal Budget (%GDP) – – -0.24 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 111

1990 2000 20100

50

100

150

200

2501Yr. PD

Non−Fin Fin

1990 2000 20102000

4000

6000

8000

10000

12000

14000TAIEX

1990 2000 201024

26

28

30

32

34

36USD/TWD

1990 2000 20100

1

2

3

4

5

6

10Y Treas. 3m Interbank

1990 2000 2010−10

0

10

20

45

50

55

60GDP PMI

1990 2000 20100

5

10

15

20

25

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 2010−0.8

−0.6

−0.4

−0.2

0Fiscal Budget

Taiwan 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 0.84 1.60 1.59 1.54 1.381Yr. PD, Fin. 1.93 3.80 3.42 4.18 4.62TAIEX 9323 8181 8338 8745 8667USD/TWD 30.87 32.99 32.86 32.21 32.2610Y Treas. Yield (%) 1.52 1.15 1.03 0.84 0.773m Interbank (%) 0.87 0.82 0.75 0.69 0.69GDP (YoY%) 0.6 -0.8 -0.9 -0.7 0.7PMI 46.3 46.9 51.7 51.1 50.5Money Supply (YoY%) 6.33 6.78 5.80 4.70 4.66Sov. Rating, Moody’s Aa3 Aa3 Aa3 Aa3 Aa3Sov. Rating, S&P AA- AA- AA- AA- AA-Fiscal Budget (%GDP) – – -0.24 – –

1990 2000 20100

200

400

600

800

1000

12001Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000SET

1990 2000 201020

30

40

50

60USD/THB

1990 2000 20101

2

3

4

5

6

7

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−20

0

20

20

40

60GDP PMI

1990 2000 2010−20

−10

0

10

20

30

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200

300

400

500Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8FDI

1990 2000 2010−5

−4

−3

−2

−1

0

1Fiscal Budget

Thailand 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 3.75 4.72 4.48 4.07 3.531Yr. PD, Fin. 9.72 10.28 7.42 6.24 7.99SET 1505 1349 1288 1408 1445USD/THB 33.80 36.37 36.03 35.13 35.123m Treas. Yield (%) 1.48 1.50 1.50 1.38 1.3610Y Treas. Yield (%) 2.94 2.77 2.50 1.69 1.953m Interbank (%) 1.66 1.64 1.63 1.60 1.59GDP (YoY%) 2.7 2.9 2.8 3.2 –PMI 49.1 47.3 49.9 51.5 50.4PPI (YoY%) -3.7 -3.6 -2.7 -2.4 -1.4Money Supply (YoY%) 6.09 5.43 4.42 3.75 3.69*Sov. Rating, Moody’s Baa1 Baa1 Baa1 Baa1 Baa1Sov. Rating, S&P BBB+ BBB+ BBB+ BBB+ BBB+5Y CDS (bps) 105.48 168.00 136.84 131.34 114.50FDI (%GDP) – – 2.02 – –Fiscal Budget (%GDP) – – -2.95 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 112

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20101000

2000

3000

4000

5000

6000TUSISE

1990 2000 20100.5

1

1.5

2

2.5USD/TND

1990 2000 20103

4

5

6

7

3m Treas.

1990 2000 20100

5

10

15

GDP

1990 2000 20100

5

10

15

20

25

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

Moody’s S&P

1990 2000 20100

2

4

6

8

10FDI

Tunisia 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 3.95 6.91 5.51 6.46 9.851Yr. PD, Fin. 27.52 31.65 30.63 24.79 29.43TUSISE 5719 5275 5042 5421 5290USD/TND 1.95 1.96 2.03 2.01 2.193m Treas. Yield (%) 5.65* – – – –Money Supply (YoY%) 5.45 3.42 5.27 5.81 6.79*Sov. Rating, Moody’s Ba3 Ba3 Ba3 Ba3 Ba3FDI (%GDP) – – 2.33 – –

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 20100

2

4

6

8

10x 10

4 National 100

1990 2000 20100

1

2

3

4USD/TRY

1990 2000 20100

10

20

30

40

50

60

10Y Treas. 3m Interbank

1990 2000 2010−20

−10

0

10

20

−100

−50

0

50

100GDP OECD CLI PMI

1990 2000 2010−5

0

5

10

15

20

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

1000

2000Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4FDI

1990 2000 2010−15

−10

−5

0Fiscal Budget

Turkey 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 22.70 23.30 27.75 26.51 29.601Yr. PD, Fin. 24.98 30.11 33.91 34.15 35.63National 100 82250 74205 71727 83268 76817USD/TRY 2.68 3.03 2.93 2.82 2.8810Y Treas. Yield (%) 9.18 10.74 10.46 9.71 9.033m Interbank (%) 11.08 11.89 11.47 11.07 9.50GDP (YoY%) 3.7 3.9 5.7 4.8 –OECD CLI 1.75 1.54 2.21 – –PMI 49.0 48.8 52.2 49.2 47.4Sov. Rating, Moody’s Baa3 Baa3 Baa3 Baa3 Baa3Sov. Rating, S&P BB+ BB+ BB+ BB+ BB+5Y CDS (bps) 225.12 312.40 273.56 254.58 242.87FDI (%GDP) – – 2.34 – –Fiscal Budget (%GDP) – – -1.23 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 113

1990 2000 20100

500

1000

1500

20001Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800

1000

1200PFTS

1990 2000 20100

5

10

15

20

25

30USD/UAH

1990 2000 20100

10

20

30

40

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−20

−15

−10

−5

0

5

10

GDP

1990 2000 2010−20

0

20

40

60

80

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

2000

4000

6000Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10FDI

1990 2000 2010−6

−4

−2

0

2Fiscal Budget

Ukraine 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 105.77 114.15 99.29 175.89 90.911Yr. PD, Fin. 212.86 131.21 117.05 146.75 182.44PFTS 351 301 241 226 223USD/UAH 21.00 21.55 23.97 26.27 24.823m Treas. Yield (%) – – – – 16.2010Y Treas. Yield (%) – – 9.75 9.54 8.503m Interbank (%) 27.33 25.00 23.75 23.00 19.58GDP (YoY%) -14.7 -7.2 -1.4 0.1 –PPI (YoY%) 37.9 32.5 25.4 10.5 15.7Money Supply (YoY%) 2.80 -5.80 3.90 -1.70 6.20Sov. Rating, Moody’s Caa3 Caa3 Caa3 Caa3 Caa3Sov. Rating, S&P B- B- B- B- B-5Y CDS (bps) 3884.57* – – – 761.68FDI (%GDP) – – 3.37 – –Fiscal Budget (%GDP) – – -2.13 – –

1990 2000 20100

20

40

60

80

100

1201Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2x 10

4 NBAD

1990 2000 20103.66

3.665

3.67

3.675

3.68

3.685USD/AED

1990 2000 20100

1

2

3

4

5

6

3m Interbank

1990 2000 2010−20

0

20

40

50

55

60

65GDP PMI

1990 2000 2010−5

0

5

10

15

20

Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

500

1000Moody’s 5Y CDS

United Arab Emirates 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 15.00 12.96 12.55 10.08 11.651Yr. PD, Fin. 23.90 29.95 29.46 25.77 24.07USD/AED 3.67 3.67 3.67 3.67 3.673m Interbank (%) 0.75 0.82 1.05 1.03 1.13GDP (YoY%) – – 3.9 – –PMI 54.7 56.0 53.3 54.5 53.4Money Supply (YoY%) 1.97 -0.35 2.15 2.07 2.03Sov. Rating, Moody’s Aa2 Aa2 Aa2 Aa2 Aa25Y CDS (bps) 191.43 196.94 197.92* – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 114

1990 2000 20100

20

40

60

80

1001Yr. PD

Non−Fin Fin

1990 2000 20101000

2000

3000

4000

5000

6000

7000FTSE 100

1990 2000 2010

1.4

1.6

1.8

2

2.2GBP/USD

1990 2000 20100

5

10

15

20

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

45

50

55

60GDP OECD CLI PMI

1990 2000 2010−10

−5

0

5

10

15

20

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100

200Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10

12FDI

1990 2000 2010−15

−10

−5

0

5Fiscal Budget

United Kingdom 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 13.28 13.21 14.86 17.50 22.091Yr. PD, Fin. 8.90 9.41 10.25 13.34 18.08FTSE 100 6521 6062 6242 6175 6504GBP/USD 1.57 1.51 1.47 1.44 1.333m Treas. Yield (%) 0.53 0.55 0.55 0.51 0.4610Y Treas. Yield (%) 2.02 1.76 1.96 1.42 0.873m Interbank (%) 0.58 0.58 0.59 0.59 0.56GDP (YoY%) 2.3 2.0 1.8 2.0 2.2OECD CLI 100.44 99.86 99.39 99.16 99.12*PMI 51.2 51.6 51.8 50.9 52.1PPI (YoY%) -1.5 -1.8 -1.4 -0.8 -0.4Money Supply (YoY%) -0.20 -0.50 0.30 1.60 1.80*Sov. Rating, Moody’s Aa1 Aa1 Aa1 Aa1 Aa1Sov. Rating, S&P AA AA AA AA AA5Y CDS (bps) 19.17 15.33 19.11 38.81 43.25FDI (%GDP) – – 1.39 – –Fiscal Budget (%GDP) – – -4.40 – –

1990 2000 20100

50

100

150

200

2501Yr. PD

Non−Fin Fin

1990 2000 20100

500

1000

1500

2000

2500S&P 500

1990 2000 2010−2

0

2

4

6

8

10

3m Treas. 10Y Treas. 3m Interbank

1990 2000 2010−10

−5

0

5

10

30

40

50

60

70GDP OECD CLI PMI

1990 2000 2010−10

−5

0

5

10

15

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

100Moody’s S&P 5Y CDS

1990 2000 20100

1

2

3

4FDI

1990 2000 2010−15

−10

−5

0

5Fiscal Budget

United States 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 3.03 5.58 6.59 8.32 8.411Yr. PD, Fin. 4.05 5.15 5.82 7.94 7.97S&P 500 2063 1920 2044 2060 20993m Treas. Yield (%) 0.01 -0.02 0.16 0.20 0.2610Y Treas. Yield (%) 2.35 2.04 2.27 1.77 1.473m Interbank (%) 0.26 0.26 0.63 0.57 0.55GDP (YoY%) 2.7 2.1 2.0 2.1 –OECD CLI 100.08 99.52 99.09 98.93 98.95*PMI 53.1 50.0 48.0 51.8 53.2PPI (YoY%) -2.6 -4.1 -2.7 -1.9 -2.0Money Supply (YoY%) 5.60 5.90 5.70 6.20 6.90Sov. Rating, Moody’s Aaa Aaa Aaa Aaa AaaSov. Rating, S&P AA+ AA+ AA+ AA+ AA+5Y CDS (bps) 16.16 15.66 17.56 19.83 19.89*FDI (%GDP) – – 2.28 – –Fiscal Budget (%GDP) – – -2.60 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 115

1990 2000 20100

50

100

150

200

250

3001Yr. PD

Non−Fin Fin

1990 2000 20100

0.5

1

1.5

2x 10

4 IBVC

1990 2000 20100

2000

4000

6000

8000

10000VEF/USD

1990 2000 20100

20

40

60

80

100

10Y Treas.

1990 2000 2010−20

−10

0

10

20

30

GDP

1990 2000 2010−100

−50

0

50

100

150

PPI Money Supply

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

2000

4000

6000

8000

10000Moody’s S&P 5Y CDS

1990 2000 2010−2

0

2

4

6

8FDI

1990 2000 2010−6

−4

−2

0

2

4Fiscal Budget

Venezuela 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 8.33 8.89 11.22 13.72 45.151Yr. PD, Fin. 4.90 8.09 8.78 11.28 22.93IBVC 12857 11873 14588 14575 12851VEF/USD 6292.10 6292.10 6292.10 9987.50 9987.5010Y Treas. Yield (%) 15.91* 16.09* 15.65 15.49 14.93*Money Supply (YoY%) 81.10 97.40 97.70 103.40 96.40Sov. Rating, Moody’s Caa3 Caa3 Caa3 Caa3 Caa3Sov. Rating, S&P CCC CCC CCC CCC CCC5Y CDS (bps) 4443.90 5715.58 4867.88 5180.28 3892.00

1990 2000 20100

20

40

60

801Yr. PD

Non−Fin Fin

1990 2000 20100

200

400

600

800

1000

1200VNINDEX

1990 2000 20101

1.5

2

2.5x 10

4 VND/USD

1990 2000 20100

5

10

15

20

10Y Treas. 3m Interbank

1990 2000 20100

5

10

40

50

60GDP PMI

1990 2000 2010AAA

AA

A

BBB

BB

B

CCC

CCC

0

200

400

600

800Moody’s S&P 5Y CDS

1990 2000 20100

2

4

6

8

10

12FDI

Vietnam 2015 2016Q2 Q3 Q4 Q1 Q2

1Yr. PD, Non-Fin. (bps) 29.04 29.99 25.14 25.03 24.411Yr. PD, Fin. 21.82 26.35 16.83 18.61 23.28VNINDEX 593 563 579 561 632VND/USD 21810.00 22470.00 22475.00 22280.00 22310.0010Y Treas. Yield (%) 6.85 7.30 7.30 6.90 6.943m Interbank (%) 4.40 4.55 5.15 4.65 3.95GDP (YoY%) – – 6.7 – –PMI 52.2 49.5 51.3 50.7 52.6Sov. Rating, Moody’s B1 B1 B1 B1 B1Sov. Rating, S&P BB- BB- BB- BB- BB-FDI (%GDP) – – 6.10 – –

NUS RMI-CRI Quarterly Credit Report, Q2/2016 116

D Data notes

This Appendix provides a comprehensive list of the macroeconomic and capital market dataprovided in Appendix C as well as their sources. Most of the data was obtained fromBloomberg. In some cases, the data was not available in Bloomberg and was obtaineddirectly from primary sources. In either case, the primary sources for the data are listed inthe tables below. The data was retrieved during July 2016 and every effort has been madeto verify its accuracy.

The last section of this Appendix describes the Probability of Default implied Rating (PDiR).The PDiR has been introduced to aid intuition about PD values for individual companies.

Stock index (top-center graph) The one-year return on an economy’s stock index is oneinput variable for RMI’s default forecast model. The stock indices used in the model are theones that are displayed in Appendix C. A list of the stock indices included in Appendix C canbe found here.

FX rate (top-right graph) Foreign exchange (FX) rates are quoted by market conventionagainst the US dollar. For Eurozone countries, a fixed official rate is used to convert thedomestic currency to the Euro prior to the introduction of the common currency. In thegraphs, the FX rate for the domestic currency before the economy adopted the Euro is inorange, and the FX rate for the Euro after the Euro was adopted is in blue. The table belowshows the conversion dates and rates. The exchange rate for the Cypriot Pound is excludeddue to scaling reasons.

Conversion to Euro

Economy ConversionDate

ConversionRate (perEuro)

Austria 31/12/1998 13.7603Belgium 31/12/1998 40.3399Estonia 31/12/2010 15.6466Finland 31/12/1998 5.94573France 31/12/1998 6.55957Germany 31/12/1998 1.95583Greece 31/12/2000 340.75Ireland 31/12/1998 0.787564

Economy ConversionDate

ConversionRate (PerEuro)

Italy 31/12/1998 1936.27Luxembourg 31/12/1998 40.3399Malta 31/12/2007 0.4293Netherlands 31/12/1998 2.20371Portugal 31/12/1998 200.482Slovakia 31/12/2008 30.126Slovenia 31/12/2006 239.64Spain 31/12/1998 166.386

10-year treasury bond yield (middle-left graph) All 10-year treasury bond yields are basedon Bloomberg indices except for the following list: Bank Negara Malaysia for Malaysia, KoreaFinancial Investment Association for South Korea and Philippine Dealing & Exchange Corpfor Philippines.

3-month government bond yield (middle-left graph) The primary sources of the 3-monthgovernment bond yields are listed in here.†

3-month interbank rate (middle-left graph) The primary sources of the 3-month interbankrates can be found here.

†The RMI CRI model uses Germany’s three-month Bubill rate for all eurozone countries after their adoptionof the euro. For the period before joining the eurozone, their own interest rates are used where available.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 117

GDP (middle-center graph, left axis) Real GDP YoY changes are seasonally-adjustedexcept for China, Hong Kong, Iceland, India, Malaysia, Philippines, Singapore, South Korea,Taiwan and Thailand. A list of primary sources of the GDP data can be found here.

OECD CLI (middle-center graph, right axis) The OECD Composite Leading Indicator foreach economy is intended to provide early signals of turning points between different trendsin the economic cycle. For forecasting purposes, peaks in CLI are candidate early signalsof downturns in the economic cycle, and troughs in the CLI are candidate early signals ofupturns in the economic cycle. More information can be obtained at www.oecd.org/std/clits.The OECD CLI shown in Appendix C is amplitude adjusted with a deduction of 50 for thepurpose of presentation along with the PMI.

PMI (middle-center graph, right axis) The Purchasing Managers Index or similar indicesare used to reflect an economy’s manufacturing activities. An index reading above 50indicates an expansion of manufacturing activity while a reading below 50 indicates a con-traction. An exception is the Business Survey Index used in South Korea, which has 100as its benchmark. A list of primary sources of the Purchasing Managers Index data can befound here.

PPI (middle-right graph) The Producers’ Price Index or similar indices are presented asYoY changes. A list of primary sources of the Producers’ Price Index data can be foundhere.

Money Supply (middle-right graph) YoY growth of money supply uses M3 when it is avail-able for an economy. The exceptions are: Brazil, Chile, China, Cyprus, the Czech Republic,Indonesia, Jordan, Kazakhstan, Latvia, Lithuania, Mexico, Nigeria, Norway, Pakistan, Peru,Romania, Russia, Sri Lanka, Taiwan, Thailand and the US where M2 is used; and Croatiaand the UK where M4 is used. For Eurozone countries, data after the adoption of the Eurorepresents total money supply growth of the Euro. A list of primary sources of the MoneySupply data can be found here.

Sovereign credit ratings (bottom-left graph, left axis) For most of the economies, theStandard & Poor’s and Moody’s sovereign ratings are for foreign currency long term debt.Moody’s ratings for France, Germany, India, Japan, Netherlands, Singapore, Switzerland,Taiwan, United Kingdom and the United States are foreign currency long term issuer ratingsinstead. Among the above mentioned economies, France, Germany, Switzerland, UnitedKingdom and the United States ratings are cited from Moody’s website directly, with theremainder of the data from Moody’s and S&P retrieved from Bloomberg. For graphicalpurposes, selective or restricted defaults are reflected as C grades in the graphs. Forexample, according to S&P data, Indonesia had selective default events on March 29, 1999;April 17, 2000 and April 23, 2002, seen as C grades in the graphs above.

5Y CDS spread (bottom-left graph, right axis) 5-year Credit Default Swap spreads are foreach economy’s long term sovereign debt. All of the CDS data is sourced from Bloomberg.

FDI (bottom-center graph) FDI into each economy is presented as a percentage of GDP.The World Bank is the primary source of all FDI data.

Fiscal budget (bottom-right graph) Fiscal budget is presented as a percentage of GDP. Alist of primary sources of the Fiscal Budget data can be found here.

NUS RMI-CRI Quarterly Credit Report, Q2/2016 118

PDiR

The Probability of Default implied Rating (PDiR) has been introduced to aid intuition aboutwhat different values of 1-year PD from RMI-CRI’s default forecast model imply about afirm’s credit quality. In short, the 1-year PD for a firm is used to imply a credit rating basedon historically observed default rates for credit rating agency ratings.

Upperbound

PDiR (bps)AAA 0.16AA 2.39A 9.28BBB 35.95BB 139B 539CCC/C –

The table at right classifies firms into S&P-equivalent PDiR based ontheir 1-year PD. For example, if a firm has a 1-year PD of 50bps,then it will be assigned an S&P-equivalent rating of BB. The upperbounds for each PDiR are derived using default and rating transitiondata provided by credit rating agencies to the European Securities andMarkets Authority (ESMA) Central Ratings Repository.† RMI-CRI usesthis data to compute issuer-weighted 1-year average default rates (ADR)for each ratings cohort, using ratings data from 2006-2015.

Computing the boundaries between different PDiR classes: Theblue circles in the graph below indicate the logarithm of the observedADR for firms rated by S&P with ratings from AA down to CCC/C.

Given the linear relationship between the observed log default rates andthe ratings, we interpolate the log default rate for each rating notch from this result by plottinga line of best fit through the observed points. We then take the boundary between PDiRclasses as the mid-point of the interpolated log default rates.

For example, the upper bound for BBB is computed as:

UB (BBB) = exp

(log (ADR (BBB)) + log (ADR (BB))

2

).

For the upper boundary for AAA firms, a mid-point of observed log ADR cannot be takenas the ADR is zero for S&P rated AAA firms. Instead, a line of best fit can be plottedthrough the six observed points for the other rating classes in order to extrapolate the orangesquares. However, taking the default rate based on the first extrapolated orange squareresults in a boundary that leads to a far larger fraction of PDiR-rated AAA firms as comparedto actual rated AAA firms. Thus, the boundary between AA and AAA is taken as the mid-pointbetween the first and second orange square.

1 (CCC/C) 2 (B) 3 (BB) 4 (BBB) 5 (A) 6 (AA) 8 (AAA)

−12

−10

−8

−6

−4

−2Log default rates of S&P Ratings

†Central Ratings Repository, European Securities and Markets Authority (ESMA).

NUS RMI-CRI Quarterly Credit Report, Q2/2016 119

About RMI and the Credit ResearchInitiative

The NUS Risk Management Institute (RMI) was established in August 2006 as a researchinstitute at NUS dedicated to the area of financial risk management. The establishmentof RMI was supported by the Monetary Authority of Singapore (MAS) under its programon Risk Management and Financial Innovation. RMI seeks to complement, support anddevelop Singapore’s financial sector’s knowledge and expertise in risk management, andthereby help to take on the challenges arising from globalization, structural change andvolatile financial markets.

Credit Research Initiative (CRI) is a non-profit project undertaken by NUS-RMI in responseto the 2008-2009 GFC. The CRI takes a ”public good” approach to credit ratings by providingthe outputs from our default forecast system in a transparent, non-profit basis. In the currentphase, the CRI model generates probabilities of default (PD) on a daily basis for corporateentities in 119 economies in Africa, Asia-Pacific, Europe, Latin America, the Middle East andNorth America. Our PD can serve as a benchmark against traditional rating agencies’ sys-tems or internal credit analyses for industry analysts and business professionals. For moreinformation about RMI and the CRI project, please visit our main site at http://rmicri.org

Usage, redistribution and publication of data

For more information please contact us:

Telephone: +65 6516 3380

Email: rmicri@nus.edu.sg

QCR Editors:

Liu Weiy-HsiaoFriedrich LorenzDexter Tan

Contributors to this issue:

Benjamin LyeErnest SimCrystopaz Angga